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Credit VaR for this portfolio assuming no default correlation and no recovery?

I am trying to estimate the Credit VaR for a portfolio of two risky bonds. The Credit VaR is defined as the maximum unexpected loss at a confidence level of 99.9% over a one-month horizon.

Assuming that both bonds are valued at $500,000 one month forward, and the one-year cumulative default probability is 2% for each of these bonds. What is they best estimate of the Credit VaR for this portfolio assuming no default correlation and no recovery?

Quantitative Finance Asked on February 5, 2021

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