Is the information provided enough to compute the credit var

Reference no: EM133325636

Case: A portfolio consists of two bonds. The bond value, default probability, and loss given default rate are USD 1,000,000, 3% and 20% for one bond, and USD 600,000, 5%, and 30% for the other. Answer the following two questions (no calculations are required):

Question 1: Is the information provided enough to compute the expected credit loss of the portfolio? If not, what else would you need?

Question 2: Is the information provided enough to compute the credit VAR of the portfolio (defined as the maximum loss due to defaults at a confidence level of 99% over a one-year horizon)? If not, what else would you need?

Reference no: EM133325636

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