What is the 1-year 95% credit VaR per USD 100 of face value closest to?
A. USD 3
B. USD 11
C. USD 18
D. USD 22
Answer:B
What is the 1-year 95% credit VaR per USD 100 of face value closest to?
A. USD 3 B. USD 11 C. USD 18 D. USD 22
Explanation: The 95% credit VaR corresponds to the unexpected loss (UL) at the 95th percentile minus the