Tik, tok next ... bank failure?
Credit Suisse CDS blowing up with an implied default probability of almost 50% 👀
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Wow ！！！
How to arrive at that probability 👇
P = 1 - e^[(-S*t)/( 1-R)]
(Risk-neutral default probability following Hull & White (2000))
R is the recovery rate and equal to 0.4 in our case
S is the spread and equal to 0.0766
t=5 and represents time to maturity
-> P ≈ 47%
