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about time horizon effct of PD
hi,David I have a wonder about time horizon effct of PD. In handbook 4th, Jorion says with time horizon increasing, PD increases, but investment grade increases more greatly than non-investment. I see in schweser notes , however, the question is reversed. What do you think about...- minnie
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- Replies: 1
- Forum: P2.T6. Credit Risk (25%)
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P-Strips & C-Strips
Thank you ,DAVID and NICHAS! I have another problem when reading TUCKMAN's book. Chapter 4 : How to calculate or determine flat price ? because "full price = flat price + AI(4.1)=PV(future cash flows),which discounted by yield rate(4.13) , flat price = PV(future cash flows) - AI...- minnie
- Post #9
- Forum: Fixed Income (P1.T4 or P2.T5)
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P-Strips & C-Strips
:) hello,david! I have one question , why shorter term C-strips tend to tade rich,and longer term C-strips tend to tade cheap? thank you !- minnie
- Post #6
- Forum: Fixed Income (P1.T4 or P2.T5)