Question: The Hazard rate for a reference entity is 16.98% each year. Assume payments are made annually in arrears. Assume that default, if it happens, always

The Hazard rate for a reference entity is 16.98% each year. Assume payments are made annually in arrears. Assume that default, if it happens, always happens exactly halfway through a year. Assume that the expected recovery rate is 21%. Assume that the Treasury-Spot curve is flat at 9% with continuous compounding. Assume Notional Principal = $1. What is the spread (in basis points) of this 5-year CDS?

		a. 1526.82
		b. 1835.52
		c. 1645.23
		d. 1459.21
		e. 1238.21

The Hazard rate for a reference entity is 16.98% each year. What is the probability of survival in year 4?

		a. 0.830200
		b. 0.689232
		c. 0.572200
		d. 0.475041
		e. 0.394379

The Hazard rate for a reference entity is 16.98% each year. Assume payments are made annually in arrears. Assume that the Treasury-Spot curve is flat at 9% with continuous compounding. Assume Notional Principal = $1. Assume the spread on this 5-year CDS is s. What is the expected premium payment in year 4 in terms of s?

		a. 0.830200s
		b. 0.689232s
		c. 0.572200s
		d. 0.475041s
		e. 0.394379s

The Hazard rate for a reference entity is 16.98% each year. Assume payments are made annually in arrears. Assume that default, if it happens, always happens exactly halfway through a year. Assume that the expected recovery rate is 21%. Assume that the Treasury-Spot curve is flat at 9% with continuous compounding. Assume Notional Principal = $1. In case of a credit event in 3.5 years, what is expected accrual in terms of s?

		a. 0.084900s
		b. 0.070484s
		c. 0.058516s
		d. 0.048580s
		e. 0.040331s

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