PRMIA Operational Risk Manager (ORM) Exam 8010 Question # 54 Topic 6 Discussion

PRMIA Operational Risk Manager (ORM) Exam 8010 Question # 54 Topic 6 Discussion

8010 Exam Topic 6 Question 54 Discussion:
Question #: 54
Topic #: 6

There are two bonds in a portfolio, each with a market value of $50m. The probability of default of the two bonds are 0.03 and 0.08 respectively, over a one year horizon. If the probability of the two bonds defaulting simultaneously is 1.4%, what is the default correlation between the two?


A.

0%


B.

100%


C.

40%


D.

25%


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