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In estimating correlation matrices, risk managers often assume an underlying distribution for the correlations. Which of the following statements most accurately describes the best fit distributions for equity correlation distributions, bond correlation distributions, and default probability correlation distributions? The best fit distribution for the equity, bond, and default probability correlation distributions, respectively are:
ALognormal, generalized extreme value, and normal.
BJohnson SB, generalized extreme value, and Johnson SB.
CBeta, normal, and beta.
DJohnson SB, normal, and beta.
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