Driven by the changes in the default risk premium only

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Reference no: EM132002340

Assume that the changes in the yield to maturity of Bond Z are driven by the changes in the default risk premium only. What should be the sign of the correlation in the returns to the put option on Bond Z and the change in implied volatility of the S&P 500 options (aka the VIX index)?

Reference no: EM132002340

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