What is the autocorrelation for the default rates in Table 9.6? What are the implications of this
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What is the autocorrelation for the default rates in Table 9.6? What are the implications of this for a Credit Risk Plus model?
Table 9.6
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Year Default Rate Year Default Rate Year Default Rate 1981 2009 1982 2010 1983 2011 1984 2012 1985 2013 1986 2014 1987 2015 1988 2016 1989 1990 1991 1992 1993 1994 0.15 1.22 0.77 0.93 1.13 1.74 0.95 1.39 1.79 2.74 3.26 1.50 0.60 0.63 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 1.05 0.51 0.63 1.28 2.15 2.48 3.79 3.60 1.93 0.78 0.60 0.48 0.37 1.80 2017 2018 2019 2020 4.19 1.21 0.80 1.14 1.06 0.69 1.36 2.09 1.21 1.03 1.30 2.74
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The autocorrelation is quite high at 0492 ...View the full answer
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