How does a 5-year nth-to-default credit default swap work? C
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How does a 5-year nth-to-default credit default swap work? Consider a basket of 100 reference entities where each refere
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How does a 5-year nth-to-default credit default swap work? Consider a basket of 100 reference entities where each reference entity has a probability of defaulting in each year of 1%. As the default correlation between the reference entities increases what would you expect to happen to the value of the swap when (a) n
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