Solution-Compute risky pv01 of initial the par cds spread

Compute risky pv01 of initial the par cds spread

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Reference no: EM131332309

Given interest rates flat 2%.

• Compute risky PV01 of initial the par CDS spread of 5% and 5 years time horizon.

• Assume current spread is 7%, Use the computed risky PV01 to verify that this is approximately riskyPV01*(S-S0)

• Consider a CDS at 5Y with par spread at 6%. Bootstrap the hazard rate between 5Yto 6Y to match the par CDS spread.

Reference no: EM131332309

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Compute risky pv01 of initial the par cds spread

Reference no: EM131332309

Reference no: EM131332309

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