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2007FRM真题和HANDBOOK2题,求解
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HANDBOOK 442页 18.6
A portfolio consists of two bonds. The credit VAR is defined as the maximum loss due to defaults at a confidence level of 98% over a one year horizon. The probability of joint def ...
2009-11-2 13:45 - utsusydbao - CFA、CVA、FRM等金融考证论坛