Question
If you are exposed to a 'BBB' rated corporate bond and wanted to hedge against default, what would be the expected fair-value CDS premium on
If you are exposed to a 'BBB' rated corporate bond and wanted to hedge against default, what would be the expected fair-value CDS premium on a 4 year CDS contract?
CDS Contract Details
'BBB' Default Rate 5%
'BBB' Recovery Rate ?
Contract Tenor 4 Years
Frequency Semi-Annual
4 Year Government Bond Yield 1.5%
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Financial Institutions Management A Risk Management Approach
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
8th edition
978-0078034800, 78034809, 978-0071051590
