I have data on loans including: initial loan taken by each borrower, their probability of default. Is there a way to calculate VaR that would show potential loss of that asset?
First what I need is the expected return on the investment. I have total loan amount and probability that this borrower defaults in 12 months. The loan period is for instance 10 years, therefore, I can't just say that my expected return equals to (1-probability of default)*loan amount. Is there a way to solve this problem?