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Consider the following Risk-Neutral Default Probabilities and risk-free rates for each year to evaluate a 2 year CDS. Year 1 Year 2 Yeal Yeal -

image text in transcribed Consider the following Risk-Neutral Default Probabilities and risk-free rates for each year to evaluate a 2 year CDS. Year 1 Year 2 Yeal Yeal - Fill out the Survival and Default probabilities along with the discount factors (Yellow cells)? - What is the breakeven CDS spread if we assume default occurs at the end of the year and no accruals are paid

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