A firm holds a bond with a value of 5250 million and an estimated probability of default of 3% over the coming 12 months: Finance Assignment, SMU
A firm holds a bond with a value of 5250 million and an estimated probability of default of 3% over the coming 12 months. The policy of the firm sets its risk limit to 95% VaR (Value at Risk) and 95% ES (expected shortfall) for any individual security. Assume the bond bears a G2 risk […]