Shaitan on Nostr: How to arrive at that probability 👇 P = 1 - e^[(-S*t)/( 1-R)] (Risk-neutral ...
How to arrive at that probability 👇
P = 1 - e^[(-S*t)/( 1-R)]
(Risk-neutral default probability following Hull & White (2000))
R is the recovery rate and equal to 0.4 in our case
S is the spread and equal to 0.0766
t=5 and represents time to maturity
-> P ≈ 47%
Published at
2023-03-15 14:50:25Event JSON
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"content": "How to arrive at that probability 👇\n\nP = 1 - e^[(-S*t)/( 1-R)]\n\n(Risk-neutral default probability following Hull \u0026 White (2000))\n\nR is the recovery rate and equal to 0.4 in our case\n\nS is the spread and equal to 0.0766\n\nt=5 and represents time to maturity\n\n-\u003e P ≈ 47%\n\n\nhttps://i.imgur.com/1ZyUye9.jpg",
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