question archive York UniversityADMS 4504 The credit risk on a 4-year $100 par value 5% annual coupon payment corporate bond can be expressed by an annual probability of default 1% and a recovery rate of 36%
York UniversityADMS 4504 The credit risk on a 4-year $100 par value 5% annual coupon payment corporate bond can be expressed by an annual probability of default 1% and a recovery rate of 36%
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The credit risk on a 4-year $100 par value 5% annual coupon payment corporate bond can be expressed by an annual probability of default 1% and a recovery rate of 36%. The risk-free yield curve is flat at 2% across maturities. Calculate the credit spread and credit valuation adjustment (CVA) for this bond.
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