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Unformatted text preview: S 50 Value of the underlying- Credit Grades Extended in based an extension of Structural models with Jumps D 100 Level of the debt r 5% Risk free rate OUTPUT R 50% Recovery rate CreditGrades CreditGrades Extend bar. Fix CreditGrades Extended bar. Mod Barrier 0.5 Default Barrier Survival probability #MACRO? #MACRO? #MACRO? Barrier'svolatil 30% Volatility of the barrier CDS spread #MACRO? #MACRO? #MACRO?...
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This note was uploaded on 01/15/2012 for the course MAT 5939 taught by Professor Garreau during the Fall '11 term at FSU.
- Fall '11