Assume the following reference credit portfolio: Credit 1: $100,000 notional, post-default value $32919.3 Credit 2: $200,000 notional, post-default value $55527.3 Credit 3: $250,000 notional, post-default value $76521.8 Given a $550,000 structure, if credits 2 and 3 default in a second-to-default basket (in that order), how much will an investor receive?
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Assume the following reference credit portfolio:
Credit 1: $100,000 notional, post-default value $3...
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