12. Pricing a credit default swap involves assessment of (1) the riskfree interest rate risk term structure,

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12. Pricing a credit default swap involves assessment of (1) the riskfree interest rate risk term structure, (2) the credit term structure, and (3) the recovery rate.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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Question Posted: Oct 24, 2024 04:02 AM

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12. Pricing a credit default swap involves assessment of (1) the riskfree interest rate risk term structure, (2) the credit term structure, and (3) the recovery rate.
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12. Pricing a credit default swap involves assessment of (1) the riskfree interest rate risk term structure,

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Measuring And Controlling Interest Rate And Credit Risk

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