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In the asset value approach asset values are compared to a given default threshold to determine whether an obligor has defaulted or not. Assume that
In the asset value approach asset values are compared to a given default threshold to determine whether an obligor has defaulted or not. Assume that we are working with a standard one factor Gaussian model. If the factor realization equals -1.5, the idiosyncratic shock equals -1.5 and the factor sensitivity equals 0.2: a. What is the asset value equal to in that scenario
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