Explain the difference between a risk-neutral and real-world default probability. Which is higher? Which should be used

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Explain the difference between a risk-neutral and real-world default probability. Which is higher? Which should be used for

(a) valuation and

(b) scenario analysis?

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:03 AM

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Explain the difference between a risk-neutral and real-world default probability. Which is higher? Which should be used for (a) valuation and (b) scenario analysis?
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Explain the difference between a risk-neutral and real-world default probability. Which is higher? Which should be used

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Options Futures And Other Derivatives

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