Question: (d) Firm A's default probability is 4%, firm B's default probability is 8%, and the joint default probability between these two firms is 1%. What

(d) Firm A's default probability is 4%, firm B's default probability

(d) Firm A's default probability is 4%, firm B's default probability is 8%, and the joint default probability between these two firms is 1%. What is the default correlation between firms A and B ? Please show the calculations. (6 marks)

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