How To Calculate The Probability Of Default? - The Friendly Statistician
How To Calculate The Probability Of Default? - The Friendly Statistician
Jan 11, 2025
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Assume that the default probability for a company in a year, conditional on no earlier defaults is λand the recovery rate is R. The risk-free interest rate is 5 % per annum. Default always occur half way through a year. The spread for a five-year plain vanilla CDS where payments are made annually is 120 basis points and the spread for a five-year binary CDS where payments are made annually is 160 basis points. Estimate R and λ. The spread for a binary credit default swap is equal to the spread f
Assume that the default probability for a company in a year, condition…
Aug 11, 2023
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