If the correlation of default remains the same but the correlation of recovery between two issuers increases,

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If the correlation of default remains the same but the correlation of recovery between two issuers increases, what is the impact (ceteris paribus) on the price of a second-todefault contract?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 18, 2024 05:00 AM

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If the correlation of default remains the same but the correlation of recovery between two issuers increases,

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If the contract has a payout based on say the total loss on both names then if the correlation ...View the full answer

Derivatives Principles And Practice

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