What is the autocorrelation for the default rates in Table 11.4, which can also be found on

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What is the autocorrelation for the default rates in Table 11.4, which can also be found on a spreadsheet on the author’s website? What are the implications of this for a Credit Risk Plus model?

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Risk Management And Financial Institutions

ISBN: 9781118269039

3rd Edition

Authors: John C. Hull

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Question Posted: Jul 27, 2024 02:02 AM

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What is the autocorrelation for the default rates in Table 11.4, which can also be found on

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Risk Management And Financial Institutions

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