Multiple Choice
Assume that the CDX-iTraxx index has 125 names in it, for a total notional of $100,000,000. If the recovery rate on default of any name is 40%, at least how many names must default for the 3-7% tranche of the CDO to be wiped out?
A) 7
B) 8
C) 15
D) 23
Correct Answer:
Verified
Correct Answer:
Verified
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