could you check the study notes on P1_T4-VRM-Ch6-Credit Risk, page 12.
I think there is a minor issue within the formula in the first example. Instead of multiplying the PD with the recovery rate, it should be the loss rate to calculate the expected loss (see screenshot)...
not sure if this is an mistake or I simply do not get it.
Part One T2 QA Chapter 12 Measuring Return, Volatility, and Correlation: Page 7
Within the example it states:
Continuing from the previous case of a daily volatility equal to 3.0%, we can say that the standard deviation of...