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Suppose, in the single-factor model, an obligor has a one-period default probability of 2.75 percent and an asset return correlation to the market factor of

Suppose, in the single-factor model, an obligor has a one-period default probability of 2.75 percent and an asset return correlation to the market factor of =0.4. What fractions of its asset return variance are explained by market and by idiosyncratic risk? What if the obligor has a default probability of 3.5 percent

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