Question
Assume the 1-yr credit spread for XYZ Corp trades at 205 basis points above the SOFR term rate, the 2-yr bond is 220 bp above
Assume the 1-yr credit spread for XYZ Corp trades at 205 basis points above the SOFR term rate, the 2-yr bond is 220 bp above SOFR and the 3-yr bond 235bp above.
What is the implied conditional default rate (Hazard Rate) for XYZ Corp during year 3?
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Middle Market M And A Handbook For Advisors Investors And Business Owners
Authors: Kenneth H. Marks, Christian W. Blees, Michael R. Nall, Thomas A. Stewart
2nd Edition
1119828104, 978-1119828105
