Consider a portfolio of 2 assets. Exposure Recovery Rate A 100000 B 150000 50% 70% If each of the assets is independent of each other and each of them has a probability of 10% of going default, find the 99% relative VaR of the portfolio

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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Consider a portfolio of 2 assets.
Exposure Recovery Rate
A
А 100000
50%
В
150000
70%
If each of the assets is independent of each
other and each of them has a probability of
10% of going default, find the 99% relative
VaR of the portfolio
Transcribed Image Text:Consider a portfolio of 2 assets. Exposure Recovery Rate A А 100000 50% В 150000 70% If each of the assets is independent of each other and each of them has a probability of 10% of going default, find the 99% relative VaR of the portfolio
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