Question 10 Not yet answered Points out of 5.00 Suppose that the risk-free zero curve is flat at 6% per annum with continuous compounding and that defaults can occur at times 0.25 years, 0.75 years, 1.25 years, and 1.75 years in a two-year plain vanilla credit default swap with semiannual payments. Suppose that the recovery rate is 20% and the unconditional probabilities of default (as seen at time zero) are 1% at times 0.25 years and 0.75 years, and 1.5% at times 1.25 years and1.75 years. What is the credit default swap spread? Flag question 1 A B I = = % sa Question 12 Not yet answered What would the credit default spread be if the instrument in question #10 were a binary credit default swap? Points out of 5.00 Flag question 1 A B I 5 % $ Question 10 Not yet answered Points out of 5.00 Suppose that the risk-free zero curve is flat at 6% per annum with continuous compounding and that defaults can occur at times 0.25 years, 0.75 years, 1.25 years, and 1.75 years in a two-year plain vanilla credit default swap with semiannual payments. Suppose that the recovery rate is 20% and the unconditional probabilities of default (as seen at time zero) are 1% at times 0.25 years and 0.75 years, and 1.5% at times 1.25 years and1.75 years. What is the credit default swap spread? Flag question 1 A B I = = % sa Question 12 Not yet answered What would the credit default spread be if the instrument in question #10 were a binary credit default swap? Points out of 5.00 Flag question 1 A B I 5 % $