“Risky” zero rate curve

Here is a small example of how one can calculate a risk-adjusted zero rate, given a risk-free zero rate and CDS premium.

Risky zero rate calculation example.

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About Alluve

Alluve develops and markets software solutions for assessing risks on the portfolios of financial derivatives. Our product, Alluve MarketSimulator, uses Monte-Carlo simulation to calculate risk measures, such as value at risk (VaR) and exposure at default (EAD).
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