For a maturity of T = 1 year, let the default probability of a firm be p

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For a maturity of T = 1 year, let the default probability of a firm be p = 0.1. Define an indicator variable d = 1 if default occurs and d = 0 if default does not occur.

(a) What is E(d)?

(b) What is Var(d)?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 18, 2024 05:00 AM

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For a maturity of T = 1 year, let the default probability of a firm be p

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Derivatives Principles And Practice

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