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credit-var

  1. Q

    Credit VaR (binomial model)

    Hi! On last FRM exam, there was a question like: Portfolio of 68 bond equally weighted, each 2 million worth. 6 defaults were expected and defaults were independent. What is 95% Credit VaR? The answer I have found was: 6*2 - 2*68*0.04 = 6.56mil I suppose the binomial model is used here but...
  2. K

    Malz Chapter 8:Portfolio Credit Risk

    Dear David, Regarding AIM: Assess the effects of correlation on a credit portfolio and its Credit VaR in Malz Chpater 8, could you kindly explain how the number of defaults are calculated in the example provided? Many thanks, Karine
  3. C

    P.2 Credit VaR

    Hi David, I did the FRM part 2 exam in November 2016 but unfortunately I falsed. I remembered one questios about Credit Var, which I was not able to get the solution. Please could you help me? question: Bank has a basket of 500 short CDS. Each CDS for $1.000.000 bond, which has a 4%...
  4. Swarnendu Pathak

    Credit VaR

    Hi, In the chapter Portfolio credit Risk (Allan M Malz) regarding the CVaR it is mentioned that when the PD is less then the significance level, then CVaR would be (-) ve or there would be a gain instead of loss as extreme loss is Zero, and if PD is more than significance level then CVaR is...
  5. F

    Portfolio Unexpected Loss (ULp) & Risk Contribution (RC)

    Hi David, Can you please show (expand) the ULp formula for 4 assets ? I want to know how the formula works (or how it looks like in 4 assets) instead of just memorizing the formula you provide us for 2 assets ? What if we were asked to find ULp for 5 assets...how would the formula looks...
  6. A

    calculate credit VaR with PD

    Hi David, "A portfolio has two risky bonds. each bond is $500000. the monthly PD for each is 0.1682%. What is the best estimate of the monthly 99.9% credit VaR for this portfolio, assuming no default correlation and no recovery? a) $841 b) $1682 c) $998318 d) $498318" Answer is d...
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