Arka Bose
Active Member
There are 500 loans (1 million each) in a portfolio, each having a probability of default of 4%. It is estimated that 25 loans in a portfolio will default with a probability of 5%. What is the 95% value at risk?
(I am pretty sure this was the question, however, those who gave part 2 think I am missing info here, please add! thanks)
(I am pretty sure this was the question, however, those who gave part 2 think I am missing info here, please add! thanks)