Assume a high-yield companys 10-year credit spread is 600 bps and the duration of the CDS is

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Assume a high-yield company’s 10-year credit spread is 600 bps and the duration of the CDS is 8 years. What is the approximate upfront premium required to buy 10-year CDS protection? Assume high-yield companies have 5% coupons on their CDS.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 05, 2023 02:24 AM

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Assume a high-yield companys 10-year credit spread is 600 bps and the duration of the CDS is

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Fixed Income Analysis

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