Estimate the 1 year credit var

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Reference no: EM131239789

Suppose that a bank has a total of $10 million of exposures of a certain type. The 1-year probability of default averages 1% and the recovery rate averages 40%.

The copula correlation parameter is 0.2.

Estimate the 99.5% 1-year credit VaR.

Reference no: EM131239789

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