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O Closed form formula relating intensity/recovery rate and spread in a simplified framework Assume a ZC one period CDS maturity T paying a yearly

O Closed form formula relating intensity/recovery rate and spread in a simplified framework Assume a ZC one period CDS maturity T paying a yearly coupon ST on a notional N, Recovery PV(Default Fair Value leg) > ST rsr+(1-R) Making the assumption that ST is small -> Tz

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