6 Given the realizations from a set of 5 correlated standard normal variables. The K firms each have a default probability of 20%. Risk-free rate is 0% and recovery rate is 40%. \$1 Notional a) What is the value of a First-to Default Basket option? b) What is the value of a Second to Default basket option? c) How many defaults are needed before at least 50% of the total value of the 5 assets is lost? d) What is the expected number of defaults if correlation is 90%