Question
You are estimating the value of an interest-rate swap. In the risk-free world, the value of the swap is 700bps. Additionally, the price of your
You are estimating the value of an interest-rate swap. In the risk-free world, the value of the swap is 700bps. Additionally, the price of your counterparty's risk is 300 bps and the price of your own credit risk is 200 bps. What is the fair value of the swap?
A, 500 bps
B. 100 bps
C. 600bps
D. 700bps
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The Handbook Of Credit Portfolio Management
Authors: Greg Gregoriou, Christian Hoppe
1st Edition
0071598340, 978-0071598347
