If you are exposed to a 'BBB' rated corporate bond and wanted to hedge against default, what

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If you are exposed to a 'BBB' rated corporate bond and wanted to hedge against default, what would be the expected fair-value CDS premium on a 4 year CDS contract?

CDS Contract Details

'BBB' Default Rate 5%

'BBB' Recovery Rate ?

Contract Tenor 4 Years

Frequency Semi-Annual

4 Year Government Bond Yield 1.5%

Related Book For answer-question

Financial Institutions Management A Risk Management Approach

ISBN: 978-0071051590

8th edition

Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders

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Posted Date: Mar 05, 2024 12:19 PM

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If you are exposed to a 'BBB' rated corporate bond and wanted to hedge against default, what

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To hedge against default on the BBB rated corporate bond you would want to ... View the full answer

Financial Institutions Management A Risk Management Approach

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