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Credit Risk [16]

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Bullet points include: If changes in credit quality and interest rates are independent then coupon bearing bond paying cash flows ci at times ti (i = 1 to n) may be priced as: Generally assume that: Interest rates and spreads ruling at future horizon are known at time 0. Appears reasonable if interest rate risks have been hedged. Future discount functions then just forward rates observable now. Or view this as an example of market-implied risk modelling?

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