Suppose that a Gaussian copula model with a default correlation of 0.4 is used to define correlation in a 125-company synthetic CDO.

Suppose that a Gaussian copula model with a default correlation of 0.4 is used to define correlation in a 125-company synthetic CDO. The probability of a default for each company during 5 years is 6%. What is the probability of more than 10 defaults during the 5-year period when the factor F in equation (10.9) is (a) -2, (b) -1, (c) 0, (d) +1, and (e) +2?equation 10.9: Ui = aiF + sqrt(1-ai^2 Zi)