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You are using an asset value model with an asset correlation of 6%. For one scenario of the Monte Carlo simulation, you draw the following
You are using an asset value model with an asset correlation of 6%. For one scenario of the Monte Carlo simulation, you draw the following random numbers: -2.0 for the factor, and -1.0 for the idiosyncratic shock of a borrower with a default probability of 5%. Does this borrower default in the scenario?
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Financial And Managerial Accounting For MBAs
Authors: Peter D. Easton, John J. Wild, Robert F. Halsey, Mary Lea McAnally
5th Edition
