hi Abhinav, I solved the 95 cvar as follows, 1mm portfolio, 15 bonds, 5 pd, 0 RR:
Prob 0 defaults 0,95exp 15 = 0.463
Prob 1 default 15 * 0.95 exp 14 * 0.05 exp 1= 0.37
Prob 2 defaults 15*14/2*1 * 0.95 exp 13 * 0.05 exp 2 = 0.13
So to reach the 95 cvar we need 2 defaults, 100000/15 * 2= 133,333
I think somebody was also querying the hedge ratio, asset 100 gbp vol 0.3 which needs to be hedged shorting another asset with corr 0.6 and vol 0.2, so 100 * 0.6 * 0.3 /0.2 = 90
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