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The par, or fair, spread $s$ is the spread that makes the default leg and the premium leg have the equal values. Note that, for an $m^{\rm th}$ to default, depending on contractual specification, the protection payment can be the loss-given-default for all losses up to the $m^{\rm th}$ default, or only the $m^{\rm th}$ loss-given-default. Otherwise, the ...



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