Multiple Choice
A self-exciting model for defaults is one where
A) There are non-random exogenous changes in the rate at which defaults arrive.
B) The volatility of the intensity increases with the level of losses.
C) The rate at which defaults arrive increases with the level of losses.
D) Excitement from defaults is spontaneous!
Correct Answer:
Verified
Correct Answer:
Verified
Q2: If a firm has a distance-to-default of
Q3: Which of the following isnot a reason
Q4: You are assessing a credit portfolio with
Q5: Consider two firms,each of which has
Q6: If you expect default correlations to increase
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
Q12: Consider two firms with one-year probabilities