medium · FRM Part 2 Credit Risk
What does the term 'RPV01' (Risky PV01) represent in the context of credit default swap valuation?
- The recovery value of the cheapest-to-deliver bond expressed per dollar of notional.
- The probability that the reference entity defaults within the next one hundred trading days from today.
- The risk-free present value of the protection leg calculated assuming default is already certain to occur.
- The present value of a 1 basis point annuity paid on the premium leg until default or maturity.
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