Multiple Choice
You are assessing a credit portfolio with 100 issuers where the hazard rate of default of each name is 0.05.The default correlation of all firms (pairwise) is zero.What is the average time it will take for 10% of the portfolio to default?
A) 1/5 year
B) 1/2 year
C) 1 year
D) 2 years
Correct Answer:
Verified
Correct Answer:
Verified
Q1: Consider two firms with one-year probabilities
Q2: If a firm has a distance-to-default of
Q3: Which of the following isnot a reason
Q5: Consider two firms,each of which has
Q6: If you expect default correlations to increase
Q7: A self-exciting model for defaults is one
Q8: Consider two firms with one-year probabilities
Q9: Consider two firms with one-year probabilities
Q10: Which of the following is an
Q11: A second-to-default (STD)basket option pays off when