# Tag Info

Let $D_1 = 1$ be the event that the first loan defaults and let $D_2 = 1$ be the event that the second loan defaults. Assume that we know the correlation $\rho$ between $D_1$ and $D_2$ and we know the marginals $p_1$ and $p_2$. The aim is to compute the probability that one of the two loans defaults (for the junior tranche) and the probability that both ...