VaR question (Part 2 exam - members put other question you can recall)

[Arka Bose]

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)

 

[frmpart2dan]

I am stuck with this question too, I was thinking if 5% of loss on 25 loans (1% recovery rate) then that should be time 1.645 but the answer does not match!