Suppose that in a one-factor Gaussian copula model the 5-yea
Question and Solution
Suppose that in a one-factor Gaussian copula model the 5-year probability of default for each of 125 names is 3% and the
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Suppose that in a one-factor Gaussian copula model the 5-year probability of default for each of 125 names is 3% and the pairwise copula correlation is 0.2. Calculate, for factor values of 2, 1, 0, 1, and 2: (a) the default probability conditional on the factor value and (b) the probability of more than 10 defaults conditional on the factor value.
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