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What is the 1-year probability of default assuming the same swap spread and recovery rate above: (a) 14.37%; (b) 9.52%; (c) 29.47%; (d) 38.27%. swap
What is the 1-year probability of default assuming the same swap spread and recovery rate above:
(a) 14.37%; (b) 9.52%; (c) 29.47%; (d) 38.27%.
swap spread = 750bps
recovery rate = 25%
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Public Finance A Contemporary Application Of Theory To Policy
Authors: David N. Hyman
5th Edition
0030113172, 978-0030113178
