Question
Bond A has a PD of 0.5%, and bond B has a PD of 2%. If they are in two industries with zero correlation, what
Bond A has a PD of 0.5%, and bond B has a PD of 2%. If they are in two industries with zero correlation, what is the probability of both default? If the industry-wide correlation is 0.3, what would be the joint default rate?
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International Financial Reporting Standards An Introduction
Authors: Belverd Needles, Marian Powers
2nd edition
053847680X, 978-1111793234, 1111793239, 978-0538476805
