Does valuing a CDS using real-world default probabilities rather than risk-neutral default probabilities overstate or understate its

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Does valuing a CDS using real-world default probabilities rather than risk-neutral default probabilities overstate or understate its value? Explain your answer.

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Options Futures And Other Derivatives

ISBN: 978-8120331693

6th Edition

Authors: Buss/redburn/guo

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Question Posted: Sep 19, 2024 06:02 AM

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Does valuing a CDS using real-world default probabilities rather than risk-neutral default probabilities overstate or understate its value? Explain your answer. AppendixLO1
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Does valuing a CDS using real-world default probabilities rather than risk-neutral default probabilities overstate or understate its

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Options Futures And Other Derivatives

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