Problem
I. What information do you need to be able to compute the borrower's asset value when using a standard single factor Gaussian model to simulate default behaviour?
II. What information do you need to be able to compute the borrower's asset value when using a single factor Gaussian model with uncertain factor sensitivities?
III. What information do you need to be able to compute the borrower's asset value when using a single factor t-distributed asset value model?