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Assume you have bought a CDS with a market value of 1,000,000 dollars and the spread appreciated by 20 bps. If the Spread duration of
Assume you have bought a CDS with a market value of 1,000,000 dollars and the spread appreciated by 20 bps. If the Spread duration of CDS is 4.5 what will be the new MV assuming that the principal of CDS is 200,000,000?
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Operations And Supply Chain Management
Authors: F. Robert Jacobs, Richard Chase
14th Edition
287
