A
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Quantitative AnalysisHard

A credit analyst models the joint default of two investment-grade obligors using both a Gaussian copula and a Student-t copula with 4 degrees of freedom, each calibrated to the same pairwise correlation of 0.30. As the analyst examines the probability of both obligors defaulting simultaneously in an extreme stress scenario (both below the 1st percentile of their marginal distributions), the Student-t copula will most likely produce:

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