Bootstrapping the hazard rates from cds spreads

Consider a Credit Default Swap with maturity 2 years, paying a premium with semi-annual frequency. Assume that defaults can occur only at times 0.25 years, 0.75 years, 1.25 years and 1.75 years. The CDS spread is 150 basis points. Assume that the risk-free interest rate is 0.5% and the recovery rate is 30%. What is the hazard rate of the reference name? Assume a constant hazard rate for the entire maturity of the CDS.

Calculate your order
Pages (275 words)
Standard price: $0.00
Client Reviews
4.9
Sitejabber
4.6
Trustpilot
4.8
Our Guarantees
100% Confidentiality
Information about customers is confidential and never disclosed to third parties.
Original Writing
We complete all papers from scratch. You can get a plagiarism report.
Timely Delivery
No missed deadlines – 97% of assignments are completed in time.
Money Back
If you're confident that a writer didn't follow your order details, ask for a refund.

Calculate the price of your order

You will get a personal manager and a discount.
We'll send you the first draft for approval by at
Total price:
$0.00
Power up Your Academic Success with the
Team of Professionals. We’ve Got Your Back.
Power up Your Study Success with Experts We’ve Got Your Back.