Shape of the portfolio possibilities curve for two assets

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Reference no: EM131847841

1. How does the shape of the portfolio possibilities curve for two assets differ when the correlation between them is +1 from when the correlation is 0.25?

2. if the loss on the underlying assets is 9%, how much is the loss to mazzanine tranche of the ABS CDO? 11.0% 66.7% 0% 33.3%

3. if the loss on underlying assets is 21%, how much is the loss to the mazzanine tranche of the ABS CDO? 100% 0% 33.3% 21.0%.

Reference no: EM131847841

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