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default-correlation

  1. Nicole Seaman

    P2.T6.709. Credit risk components

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  2. V

    Impact of Default Correlations on EL

    @David Harper CFA FRM - Hi David : While I understand that EL is linear and additive and is not impacted by Default correlations, Jonathan Golin's Chapter1 Second Edition, Page 24 mentions that "On a portfolio basis, a fifth variable, correlation between credit exposures within a credit...
  3. T

    P2.T6.309. Default correlation, Malz sections 8.1 and 8.2

    H Hi, how do we do this in case of 2 bonds with default correlation of 30% and joint default probability of 1.5% Thanks
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