Calculate a hazard rate consistent with the spread

Assignment Help Financial Management

Reference no: EM131240164

Given Table shows the five-year iTraxx index was 77 basis points on January 31, 2008.

Assume the risk-free rate is 5% for all maturities, the recovery rate is 40%, and payments are quarterly.

Assume also that the spread of 77 basis points applies to all maturities.

Use the DerivaGem CDS worksheet to calculate a hazard rate consistent with the spread. Use this in the CDO worksheet with 10 integration points to imply base correlations for each tranche from the quotes for January 31, 2008.

1974_Table 6.jpg

Reference no: EM131240164

Questions Cloud

Compensate for the inequities in marksmanship skills : To compensate for the inequities in their marksmanship skills, the three decided that they would fire in turns, starting with Aaron, followed by Bob, and then by Charlie. The cycle would repeat until there was one man standing, and that man would..

What is the probability of default in year 1 : Use DerivaGem to calculate the continuously compounded hazard rate each year. - What is the probability of default in year 1?

Write the contrapositive for each of the following statement : If n is prime, then n is not divisible by any prime number between 1 and √n inclusive. (Assume that n is a fixed integer that is greater than 1.)

How would use differential analysis to arrive at decision : Discuss the relevant costs you would consider for this decision as well as irrelevant costs and sunk costs. How would you use differential analysis to arrive at this decision?

Calculate a hazard rate consistent with the spread : Given Table shows the five-year iTraxx index was 77 basis points on January 31, 2008. - calculate a hazard rate consistent with the spread.

Assessment of the risk management and security issues : Child Protection board has considered your assessment of the risk management and security issues for the data file exchange and payroll services proposed. They have decided that they need an additional assessment on the technical management and th..

Write a negation for each statement : For each statement in the referenced exercise write the converse, inverse, and contrapositive. Indicate as best as you can which among the statement, its converse, its inverse, and its contrapositive are true and which are false. Give a counterexa..

Relationship between software and hardware : What can the relationship between software and hardware can be characterized as?

What are merits of spanking and the potential consequences : What are the merits of spanking and the potential consequences it holds for a developing child's future behavior? Given what we know about modeling and social learning, is spanking simply another source of information about aggressive behavior?

User Account

All Pages