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    Hello and thank you for your time!

    Can someone help me with the following exercise? i need it for my exams Thank you a lot!


    Let three loans be defeated independently with D1 (Pd = 1%, Loss = 100), D2 (Pd =% 4, Loss = 50), D3 (Pd = 10%, Loss = 20). Find the loss distribution, average loss, and CreditVar with a 90% confidence level.
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    (Original post by Galazios)
    Hello and thank you for your time!

    Can someone help me with the following exercise? i need it for my exams Thank you a lot!


    Let three loans be defeated independently with D1 (Pd = 1%, Loss = 100), D2 (Pd =% 4, Loss = 50), D3 (Pd = 10%, Loss = 20). Find the loss distribution, average loss, and CreditVar with a 90% confidence level.
    Have you ever seen a similar example before? Perhaps with just two loans..
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    (Original post by Kevin De Bruyne)
    Have you ever seen a similar example before? Perhaps with just two loans..
    Unfortunately, i have never seen before an example like this and i found it from the last year exams. Our proffessor never make examples . So i decided to ask for help here

    I;m writing exams next friday. If someone can help i will appreciate
 
 
 
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