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Mathematics-in-Industry Case Studies
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Table 9 Comparison of the one-default and two-default cases over a range of credit ratings
From:
Credit contingent interest rate swap pricing
Rating
One-default
Two-default
AAA
303.76
310.24
AA
632.60
661.51
A
822.47
875.13
BBB
1,215.01
1,330.24
BB
2,548.34
3,185.29
B
4,224.85
6,964.76
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