Calculate bend with estimaled recovery is 38% and Tisk nulial default a ss uming Conditional CVA for zuo Coupon a 3years to matidily. The Tate paobabilily probabilities gf default. flat gids Assume a Curve at 3%0 and that he olyfaiult and 3 m date d OCcurs on ly at oneyear end and the on dati the default will not Current date exposure, Tecovery and lon default values ae * par value O ccut given expresed per 100
Calculate bend with estimaled recovery is 38% and Tisk nulial default a ss uming Conditional CVA for zuo Coupon a 3years to matidily. The Tate paobabilily probabilities gf default. flat gids Assume a Curve at 3%0 and that he olyfaiult and 3 m date d OCcurs on ly at oneyear end and the on dati the default will not Current date exposure, Tecovery and lon default values ae * par value O ccut given expresed per 100
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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the yeild curve at the present time (t=0)
Transcribed Image Text:Calculate
CVA for
zuo Coupon
bond with
a
3years to malidily. The estimaled recovery
Tate
is 38% and Tisk nulial defoult
probability is 2%
probabilities of default. Assume a flat yield
Curve
a ss uming conditional
at 3/0 and that he alifaiult
one year
the defauIt will not occur
Current date
Occurs
on ly at
and
the
Jgiven e expresed per 100
7 pae Value
end
dati 12 and 3
on
n date d
exposure, recovery and lon
default values áre
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