In Example 25.3, what is the spread for a) a first-to-default CDS and b) a second-to-default CDS?

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:24 PM

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In Example 25.3, what is the spread for a) a first-to-default CDS and b) a second-to-default CDS?

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a In this case the answer to Example 253 gets modified as follows When the cumulative probabilities ...View the full answer

Options Futures and Other Derivatives

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