Published March 13, 2023
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Hazard rate calibration
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Description
The credit default swap model is designed to price the credit default swap under a constant hazard rate model. All future cash flows are discounted to the present time with possible default event accounted. The hazard rate is calibrated from the current market traded fee rate.
Notes
https://ia904701.us.archive.org/7/items/mutualFundCash/mutualFundCash.pdf
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hazardRate.pdf
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(33.3 kB)
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