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Hull 22.1 |
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First Approximation |
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Term (yrs) |
3.0 |
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Spread |
0.50% |
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Recovery |
30% |
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First Approx |
0.71% |
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More Exact |
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Riskfree |
4.00% |
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Risky yield |
4.50% |
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Principal |
$100.00 |
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Coupon |
4.00% |
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Price (corporate) |
98.61 |
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Price (riskless) |
100.00 |
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EL from default |
1.39 |
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RF |
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PV of |
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Time |
PD |
Recov |
Value |
LGD |
DF |
EL |
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0.5 |
Q |
30 |
100.00 |
70.00 |
0.9804 |
68.63Q |
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1.5 |
Q |
30 |
100.00 |
70.00 |
0.9423 |
65.96Q |
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2.5 |
Q |
30 |
100.00 |
70.00 |
0.9057 |
63.40Q |
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197.99Q |
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PD |
0.70% |
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