Question: Exercise . Which contract is cheaper: a first-to-default basket CDS or a second-to-default basket CDS (on the same portfolio, with same maturity, etc.)? How does

Exercise . Which contract is cheaper: a first-to-default basket CDS or a second-to-default basket CDS (on the same portfolio, with same maturity, etc.)?

How does the price difference depend on the default correlations in the portfolio?

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