What can be said about default correlations in CreditMetrics?a) Default correlations can be estimated by ratings changes.b) Firm-specific aspects are more important than correlation.c) Past history is...

What can be said about default correlations in CreditMetrics?a) Default correlations can be estimated by ratings changes.b) Firm-specific aspects are more important than correlation.c) Past history is insufficient to judge default correlations.d) Default correlations can be estimated by equity valuation


.J.P. Morgan's CreditMetrics uses which of the following to estimate default correlations?a) CreditMetrics does not estimate default correlations; it assumes zero correlations between defaults.b) Correlations of equity returns are used.c) Correlations between changes in corporate bond spreads to treasury are used.d) Historical correlation of corporate bond defaults are used.