13.
In pricing a first-to-default credit basket swap, which of the following is true, all else being equal?
a.
The lower the correlation between the assets of the basket, the lower the premium.
b.
The lower the correlation between the assets of the basket, the higher the premium.
c.
The higher the correlation between the assets of the basket, the higher the premium.
d.
The correlation between the assets has no impact on the premium of a first-to default credit basket swap.
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