Suppose that a bank has a total of $100 million of retail exposures. The...
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Finance
Suppose that a bank has a total of $100 million of retail exposures.
The 1-year probability of default averages 2% and the recovery rate
averages 60%.
The copula correlation parameter* is estimated as 0.1. In this case,
the 1-year 99.9% worst case default rate is equal to?
Find the worst case default rate.
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