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Results tagged with binomial
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user 9265
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Calculating expected shortfall
I don't understand why the 1.04% probability of 0 bonds defaulting is used as a weight when calculating ES, since the binomial probability was 96.04%. … Solution Given
Calculate the binomial probabilities of both bonds defaulting, only one defaulting and 0 bonds defaulting which are:
P (0 defaults) = 96.04% P (1 defaults) = 3.92% P (2 defaults) = 0.04% …
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