A Self-Exciting Model for Defaults Is One Where

question 20

Multiple Choice

A self-exciting model for defaults is one where

• A) There are non-random exogenous changes in the rate at which defaults arrive.
• B) The volatility of the intensity increases with the level of losses.
• C) The rate at which defaults arrive increases with the level of losses.
• D) Excitement from defaults is spontaneous!

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