Multiple Choice
The value of a CDO (collateralized debt obligation) unambiguously increases when
A) The correlation of default amongst the names in the CDO decreases.
B) The correlation of default amongst the names in the CDO increases.
C) The intensity of default of names in the portfolio decreases.
D) The number of names in the CDO decreases.
Correct Answer:
Verified
Correct Answer:
Verified
Q14: Consider two firms with one-year probabilities
Q15: In the Longstaff and Rajan top-down
Q16: A CDO has three tranches,a senior tranche,mezzanine
Q17: The difference between implied correlation and base
Q18: Two firms that have zero default correlation
Q19: Consider two firms with one-year probabilities
Q20: Consider two firms with one-year probabilities
Q22: Consider two firms,each of which has
Q23: Consider two firms with hazard rates
Q24: Consider two firms with one-year probabilities