Asked by knc0sb

# Consider the Gaussian Latent Variable Model. Calculate the...

Consider the Gaussian Latent Variable Model. Calculate the unconditional (total) loss distribution of a homogenous independent portfolio of 𝑁𝑁𝑐𝑐 = 100 credits, where the unconditional default probability is 4%, 𝑅𝑅 = 40% and 𝛽𝛽 = 40%. You will need to calculate the conditional loss distribution using the binomial distribution, then integrate over Z. Repeat the calculations for 𝛽𝛽 = 0% and 𝛽𝛽 = 20%. Compare and comment the results.

Answered by andrewmervin19

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