Consider a pair of two speculative credits, rated BB and BB-, with default probabilities respectively of 2% and 3%. If their joint default probability is 0.4%, which is nearest to the implied default correlation? | Financial Risk Manager Part 2 Quiz - LeetQuiz
Financial Risk Manager Part 2
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Consider a pair of two speculative credits, rated BB and BB-, with default probabilities respectively of 2% and 3%. If their joint default probability is 0.4%, which is nearest to the implied default correlation?