Is this understanding correct:
If N=20, port Value = 1000Mn, Var Conf Level = 95%,
Then, Unexp loss = (1 - conf level) * N * Port value
= 5% * 20 * 50Mn i.e. (1000Mn/20)
Where No. of defaults = 20 * 5% = 1
Is this understanding correct:
If N=20, port Value = 1000Mn, Var Conf Level = 95%,
Then, Unexp loss = (1 - conf level) * N * Port value
= 5% * 20 * 50Mn i.e. (1000Mn/20)
Where No. of defaults = 20 * 5% = 1