This is how I calculated -
A. PD in Year 1 = 1-e^(-0.12) = 11.30%
B. Cumulative PD in Year 2 = 1-e^(-2x0.12) = 21.33%
Hence, PD in Year 2 = A - B = 21.33 - 11.30 = 10.03%
Now, Conditional PD = 10.03/.887 = 11.3%
This is the answer for all years.
There was this question that I remember. A table was provided highlighting the VaR at different Confidence Levels and we had to calculate ES. Now, when we're calculating this, we simply take the average of all values given, except the first one (95% VaR).
I was getting two answers - one using 10...