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Consider an asset with a price of R190. A new forward contracton the asset expires in six months with a risk-free rate of 5.4% (discreet
Consider an asset with a price of R190. A new forward contracton the asset expires
in six months with a risk-free rate of 5.4% (discreet compounding).Three months
after you entered into the contract, the price increased to R205while the riskfree
interest rate remained the same. Calculate the credit risk if youhave a long
position and indicate whether you or the counter party bears thisrisk.
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