Concerning PQ 29.1 VaR Coherent risk measure ,I do not understand the reasoning about Prob of zero default=[95%^3].Is alpha considered as the prob that the bond will not default?
Given the PD bond, I'm tempted to measure the prob of no default as [1-PD].
Thank you very much four your...
regarding question 12.11.6 pag.133 - option stategy, with given data
I don’t get the same profit as in your answer. It seems that Kput used to calculate net profit in the answer is different from data provided in the question...