You are given that the cumulative probability of default for one year is 6% and for two

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You are given that the cumulative probability of default for one year is 6% and for two years is 10%. The intensity is given by the following function of time

a bt 19 + 0 = (1) Y

What are the values of a, b?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 18, 2024 05:00 AM

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You are given that the cumulative probability of default for one year is 6% and for two

Question:

a bt 19 + 0 = (1) Y

Step by Step Answer:

First we compute the total intensity for 1 year as foll...View the full answer

Derivatives Principles And Practice

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