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    Derivatives Study Set 1
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    Exam 32: Modeling Correlated Default
  5. Question
    If a Firm Has a Distance-To-Default of 2, and We
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If a Firm Has a Distance-To-Default of 2, and We

Question 3

Question 3

Multiple Choice

If a firm has a distance-to-default of 2, and we assume a normal distribution, then the probability of a firm defaulting is


A) 1.1%
B) 1.5%
C) 2.1%
D) 2.3%

Correct Answer:

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