Question
Statistical-Related Risks: Correlation. Keeping the default probability fixed, a. Suppose the mortgages in the MBS have very low default correlation (close to 0). Is your
Statistical-Related Risks: Correlation. Keeping the default probability fixed, a. Suppose the mortgages in the MBS have very low default correlation (close to 0). Is your product a relatively safe investment? Why or why not?
b. Suppose the mortgages in the MBS have very high default correlation (close to 1). Is your product a relatively safe investment? Why or why not?
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Introductory Course On Financial Mathematics
Authors: M V Tretyakov
1st Edition
1908977388, 978-1908977380
