Based on a structural model that assumes a normal distribution of firm value, the distance to default
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Based on a structural model that assumes a normal distribution of firm value, the distance to default for firm 1 is DT D1 = 2. Likewise, for firm 2, DT D2 = 1. If the correlation of default between the two firms is 0.3, what is the probability of joint default?
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and P NDTD N2 002275 We note that P2 NDTD2 N1 ...View the full answer
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