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P2.T6.309. Default correlation, Malz sections 8.1 and 8.2
AIMs: Define default correlation for credit portfolios. Identify drawbacks in using the correlation-based credit portfolio framework. Assess the effects of correlation on a credit portfolio and its Credit VaR. Questions: 309.1. Consider a pair of two speculative credits, rated BB and BB-...- Kimberly D
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- Forum: FRM® Practice Questions