Question
The credit spread of a 5-year bond issued by MyBank over an equivalent risk-free bond is equal to 325 bps (computed as difference between zero
The credit spread of a 5-year bond issued by MyBank over an equivalent risk-free bond is equal to 325 bps (computed as difference between zero spot rates). The recovery rate of MyBank is estimated at 40%. Determine the cumulative default probability of MyBank at 5 years.
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How To Day Trade Futures
Authors: Joseph Dinero
1st Edition
154249902X, 978-1542499026
