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**Can you please explain step by step on how to do this question*** and please show formulas used so I can understand how to do
**Can you please explain step by step on how to do this question*** and please show formulas used so I can understand how to do it on my own. thank you.
How does a five-year th-to-default credit default swap work. Consider a basket of 100 reference entities where each reference entity has a probability of defaulting in each year of 1%. As the default correlation between the reference entities increases what would you expect to happen to the value of the swap when a) and b) . Explain your answer.
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