23.12. How is the recovery rate of a bond usually defined? What is the formula relating the...

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23.12. How is the recovery rate of a bond usually defined? What is the formula relating the payoff on a CDS to the notional principal and recovery rate?

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Fundamentals Of Futures And Options Markets

ISBN: 9780134083247

9th Edition

Authors: John Hull

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Question Posted: Jul 26, 2024 09:00 AM

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23.13. Show that the spread for a new plain vanilla CDS should be 1 - R times the spread for a similar new binary CDS, where R is the recovery rate.
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23.12. How is the recovery rate of a bond usually defined? What is the formula relating the...

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Fundamentals Of Futures And Options Markets

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