R38.P2.T6 Malz_Credit Risk

[shardasb]

Hi David,
In R38.P2.T6.Malz_v3.pdf on page 41, you have given "Number of defaults" for 0 correlation(Binomial distribution). I need to know how to calculate that. That means if n=100 & p=1% , then how to calculate "number of defaults" at 95%.
Can you please let me know.

Regards,
Sharda

 

[David Harper CFA FRM]

Hi @shardasb

Please see this thread @ https://forum.bionicturtle.com/threads/credit-var.7174/#post-28091
which includes a link to the XLS @ https://www.dropbox.com/s/6rsfz1rbqua4ybt/Malz_Fig%208.1_CVaR.xlsx
i.e., tactically the number of defaults is given by =BINOM.INV(n, pd, confidence). For example, BINOM.INV(100, 0.01, 0.95) = 3.0

I elaborate in the linked thread discussion, let me know if can give more help? Thanks!

 

[shardasb]

Thanks David, the above link, helps.