Assume that the CDX-iTraxx index has 125 names in it,for a total notional of $100,000,000.If the recovery

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Assume that the CDX-iTraxx index has 125 names in it,for a total notional of $100,000,000.If the recovery rate on default of any name is 40%,at least how many names must default for the 3-7% tranche of the CDO to be wiped out?

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Statistics Principles And Methods

ISBN: 9780470904114

7th Edition

Authors: Richard A. Johnson, Gouri K. Bhattacharyya

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Posted Date: Mar 08, 2024 02:25 AM

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Assume that the CDX-iTraxx index has 125 names in it,for a total notional of $100,000,000.If the recovery

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To determine how many names must default for the 37 tranche of the CDO to be wipe... View the full answer

Statistics Principles And Methods

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