Question
Consider a pair of two speculative credits, rated BB and BB-, with default probabilities respectively of 2% and 3%. If their joint default probability is
Consider a pair of two speculative credits, rated BB and BB-, with default probabilities respectively of 2% and 3%. If their joint default probability is 0.4%, which is nearest to the implied default correlation?
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Fundamentals Of Financial Management
Authors: James Van Horne, John Wachowicz
13th Revised Edition
978-0273713630, 273713639
