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Consider the following 3-year corporate bond issued by ABC corp. Where would you expect fair value for a 3-year CDS to trade on this bond?
Consider the following 3-year corporate bond issued by ABC corp. Where would you expect fair value for a 3-year CDS to trade on this bond?
Trade date: 3/20/23
Bond: 7% of 3/15/26
Price: 97
Z-spread to swaps curve: 100 bp
Recovery rate: 30%
Trade date: 3/20/23
Bond: 7% of 3/15/26
Price: 97
Z-spread to swaps curve: 100 bp
Recovery rate: 30%
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To determine the fair value for a 3year Credit Default Swap CDS on the given bond we need to conside...
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Finance Applications and Theory
Authors: Marcia Cornett, Troy Adair
3rd edition
1259252221, 007786168X, 9781259252228, 978-0077861681
