Suppose that the risk-free zero curve is flat at 6 % per annum with continuous compounding and that defaults can occur at times 0.25 years, 0.75 years, 1.25 years, and 1.75 years in a 2 -year plain vanilla credit default swap with semiannual payments. Suppose that the recovery rate is 20 % and the unconditional probabilities of default (as seen at time zero) are 1 % at times 0.25 years and 0.75 years, and 1.5 % at times 1.25 years and 1.75 years. What is the credit default swap spread? What woul
Suppose that the risk-free zero curve is flat at 6 % per annum wit…
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