Question
A credit default swap (CDS) for an Italian sovereign bond has a CDS rate of 4.5% per annum. In the event of default, Italian sovereign
A credit default swap (CDS) for an Italian sovereign bond has a CDS rate of 4.5% per annum. In the event of default, Italian sovereign bonds pay approximately 60% of their par value. What is the implied risk-neutral per annum probability of default for this bond?
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Fintech In Islamic Finance Theory And Practice
Authors: Umar A. Oseni, S. Nazim Ali
1st Edition
1138494801, 978-1138494800
