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Unconditional loss distribution of a homogenous

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Consider the Gaussian Latent Variable Model. Calculate the unconditional (total) loss distribution of a homogenous independent portfolio of ???????? = 100 credits, where the unconditional default probability is 4%, ???? = 40% and ???? = 40%. You will need to calculate the conditional loss distribution using the binomial distribution, then integrate over Z. Repeat the calculations for ???? = 0% and ???? = 20%. Compare and comment the results.

Reference no: EM132589624

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