Multiple Choice
The credit spreads for a counterparty for 5 and 6 years are 2% and 2.2% respectively.The recovery rate is 60%.What is closest to the unconditional default probability for the sixth year?
A) 0.04
B) 0.05
C) 0.06
D) 0.07
Correct Answer:
Verified
Correct Answer:
Verified
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