New answers tagged risk-management
1
let me try answer my own questions, partially, from below that are exerpted from FRM exam notes.
So actually the K above, is UL, though it derives only from PD and maturity, but the G, N and 0.999, actually are calculating the VaR and UL.
So, CAR is defined based on EAD and K, while K means UL. the essence is, CAR is to cover Unexpected Loss -- captical ...
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