Percentage of loans default on portfolio


Suppose that a bank has made a large number loans of a certain type. The one-year probability of default on each loan is 1.2%. The bank uses a Gaussian copula for time to default. It is interested in estimating a "99.97% worst case" for the percentage of loans that default on the portfolio. Show how this varies with the copula correlation.

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Finance Basics: Percentage of loans default on portfolio
Reference No:- TGS041913

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