Question
Assume that the CDX-iTraxx index has 125 names in it,for a total notional of $100,000,000.If the recovery rate on default of any name is 40%,at
Assume that the CDX-iTraxx index has 125 names in it,for a total notional of $100,000,000.If the recovery rate on default of any name is 40%,at least how many names must default for the 3-7% tranche of the CDO to be wiped out?
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To determine how many names must default for the 37 tranche of the CDO to be wipe...
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Statistics Principles And Methods
Authors: Richard A. Johnson, Gouri K. Bhattacharyya
7th Edition
8126557745, 470904119, 978-0470904114
