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Financial Risk Manager Part 2

Financial Risk Manager Part 2

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The loans in the collateral pool pay a fixed spread of 2.2% over the swap curve. There were no defaults in year 1. The value of the overcollateralization account at the end of year 1 was EUR 0. What is the value of the overcollateralization account at the end of year 2 if there are 8 defaults in year 2?

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