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Calculate the probability of joint default

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Reference no: EM133113000

A portfolio consists of two bonds. The bond value, default probability, and recovery rate are USD $1,000,000,1%, and 60% for one bond, and USD $400,000, 5%, and 30% for the other. The default correlation of the two bonds is 15%. 

  1. Calculate the probability of joint default 
  2. Calculate the expected credit loss for the portfolio 
  3. Calculate the credit VaR for the portfolio at confidence levels from 99%-95% 

Reference no: EM133113000

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