Matcha2020-03-04 21:20:54

老师好，请问这道题，违约相关系数是0和是1，计算上有什么区别？ Suppose there is a $1,000,000 portfolio with n credits that each have a default probability, π = 2% and a zero recovery rate. The default correlation is 0 and n = 1,000. There is a probability of 28 defaults at the 95th percentile based on the binomial distribution with the parameters of n = 1,000 and π = 0.02. What is the credit VaR at the 95% confidence level based on these parameters?