Question
the credit risk modelling presents a useful relationship s=(1-R)c where s is the CDS credit spread, R is the recover rate andc is the default
the credit risk modelling presents a useful relationship
s=(1-R)c
where s is the CDS credit spread, R is the recover rate andc is the default intensity of a default entity in CDS contract. All three variables a re constant. show this relationship in either continuous time or discrete time, depending on your preference.
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Financial Management Principles and Applications
Authors: Sheridan Titman, Arthur J. Keown, John H. Martin
13th edition
134417216, 978-0134417509, 013441750X, 978-0134417219
