Given an estimated five-year average probability intensity o f0.0375 on a five-year, BB-rated CDS, a recovery rate
Question:
Given an estimated five-year average probability intensity o f0.0375 on a five-year, BB-rated CDS, a recovery rate of \(30 \%\), and discount rate of \(5 \%\), determine the value and spread on the CDS. Assume \(N P=\$ 100\).
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To determine the value and spread on the BBrated CDS we can calculate the expected present value of ...View the full answer
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