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Consider an A-rated bond and a.4 BBB-rated bond. Assume that the one- year probability of default for the A- rated and BBB-rated bonds are 2%

Consider an A-rated bond and a.4 BBB-rated bond. Assume that the one- year probability of default for the A- rated and BBB-rated bonds are 2% and 4%, respectively, and that the joint probability of default of the two bonds is 0.25%. what is the default correlation between the two bonds?

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