Hello David,
This question is on Credit VaR.
"For n= 50, each position has a future value, if it doesn’t default, of $20,000,000. The expected loss is π×1,000,000,000 which is the same as for the single-credit portfolio. If π = 2 %, the 95th percentile of the number of defaults is 3 (from table 8.1) and the credit loss is $60,000,000. Subtracting the expected loss of $20,000,000, we get a credit VaR of $40,000,000."
Could you please explain, how we are getting the number of default of 3 here. Thanks.
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