cvar

Dear David, Regarding AIM: Assess the effects of correlation on a credit portfolio and its Credit VaR in Malz Chpater 8, could you kindly explain how the number of defaults are calculated in the example provided? Many thanks, Karine

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Sorry to be that guy who keeps posting questions, this really is by far the best resource out there. The answer to practice question 305.3 for Malz says the following statement is true: CVaR (alpha) = Unexpected loss (alpha), where alpha is a significance or confidence level Q: if CVaR is...

Hi, In the chapter Portfolio credit Risk (Allan M Malz) regarding the CVaR it is mentioned that when the PD is less then the significance level, then CVaR would be (-) ve or there would be a gain instead of loss as extreme loss is Zero, and if PD is more than significance level then CVaR is...