One-year probability of default assuming same swap spread

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Reference no: EM131914266

1. What is the 1-year probability of default assuming the same swap spread and recovery rate above:

(a) 14.37%; (b) 9.52%; (c) 29.47%; (d) 38.27%.

swap spread = 750bps

recovery rate = 25%

2. The reference entities for the largest positions in credit default swaps are in:

(a) sovereign debt; (b) U.S. interest rates; (c) small cap stocks; (d) other swaps;

3. If the implied default probability on a 5-year credit default swap is 39:35%, and the swap spread is 750 bps. what is the recovery rate:

(a) 10%; (b) 40%; (c) 1,200 bps; (d) 25%

Reference no: EM131914266

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