Question: Suppose that in a one-factor Gaussian copula model the five-year probability of default for each of 125 names is 3% and the pair wise copula

Suppose that in a one-factor Gaussian copula model the five-year probability of default for each of 125 names is 3% and the pair wise copula correlation is 0.2. Calculate, for factor values of -2, -1, 0, 1, and 2, a) the default probability conditional on the factor value and b) the probability of more than 10 defaults conditional on the factor value.

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