hard · FRM Part 2 Credit Risk
A CVA desk is computing marginal default probabilities for a 2-year window. The CDS-implied annual hazard rate is 3% flat. Using the exponential survival function S(t) = e^-λ t, calculate the marginal probability of default (q_2) during the second year.
- 2.83%
- 3.00%
- 5.83%
- 2.87%
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