Use derivagem to calculate the continuously compounded, Financial Econometrics

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Use derivagem to calculate the continuously compounded

The 1-, 2-, 3-, 4-, and 5-year CDS spreads are 100, 120, 135, 145, and 152 basis points, respectively.

The risk-free rate is 3% for all maturities, the recovery rate is 35%, and payments are quarterly.

Use DerivaGem to calculate the continuously compounded hazard rate each year. What is the probability of default in year 1? What is the probability of default in year 2?

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Financial Econometrics: Use derivagem to calculate the continuously compounded

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Financial Econometrics: Use derivagem to calculate the continuously compounded

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