Repeat the previous problem, assuming that default correlations are 0.25. In the previous problem Following Table 27.10,
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In the previous problem Following Table 27.10, compute the prices of first, second, and Nth-to-default bonds assuming that defaults are uncorrelated and that there are 5, 10, 20, and 50 bonds in the portfolio. How are the Nth-to-default yields affected by the size of the portfolio?
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Using the same methodology as before but extending the number of bonds i...View the full answer
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