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Quantitative Finance · Glossário

O que é Default risk premium?

Definition 13.16 Rates, Credit, XVA and Risk · Capítulo 13 — Reduced-Form Credit

The default risk premium is the difference between the risk-neutral default probability implied by spreads and the real-world probability estimated from default histories: spreads pay for expected losses, for their uncertainty and for the illiquidity of credit, so implied PDs exceed historical ones, most for high-quality names.

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