Assume That the CDX-ITraxx Index Has 125 Names in It,for

question 7

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

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