medium · FRM Part 2 Credit Risk
A Credit Default Swap (CDS) protection buyer and seller are pricing a contract.
If the risky annuity (RPV01) is 4.2 and the par spread is 150 basis points, what is the value of the protection leg per unit of notional at inception?
- 0.036
- 0.063
- 0.280
- 0.015
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