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2. What is the formula relating the payoff P on a CDS to the notional principal L and the recovery rate R? 3. Suppose that
2. What is the formula relating the payoff P on a CDS to the notional principal L and the recovery rate R? 3. Suppose that the risk-free zero curve is flat at 7% per annum with continuous com- pounding and that defaults can occur halfway through each year in a new 2-year credit
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The Economics Of Money Banking And Financial Markets
Authors: Frederic S. Mishkin
11th Global Edition
1292094184, 978-1292094182
