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    Risk measures for small investor

    Suggest which of the risk measures (Variance, VaR and CVaR) is best from a small investor risk management perspective, using illustrative examples or empirical evidence as appropriate.
  2. O

    unconditional default probabilities

    Assume that a 2 year corporate bond pays a coupon of 6 % per annum semi annually and has a yield of 8%. The yield for all maturities on risk free bonds is 4% per annum (expressed with continuous compounding). Assume that defaults can take place every year (immediately before coupon payment) and...
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