Question: Consider a CDS written on an underlying default-able bond. The current probability of default is 10%. This swap will go on for five years. Assume

Consider a CDS written on an underlying default-able bond. The current

Consider a CDS written on an underlying default-able bond. The current probability of default is 10%. This swap will go on for five years. Assume ? = 4%. Further assume that default occurs half-way through the year. Recovery rate is 25%. What is the appropriate CDS premium for this swap? Consider a CDS written on an underlying default-able bond. The current probability of default is 10%. This swap will go on for five years. Assume ? = 4%. Further assume that default occurs half-way through the year. Recovery rate is 25%. What is the appropriate CDS premium for this swap

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