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Question about (lLack of) Risk Neutral Bond Pricing in Duffie & Lando (2001)

In the model setup, they state that all agents are risk-neutral, which would mean $\mathbb{P}=\mathbb{Q}$.
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1 vote

Zero-recovery swap / extinguisher swap

Counterparties A and B have a cross-currency swap that disappears (extinguishes) if credit C has a CDS-like credit event. The underlying swap could be physical delivery or non-delivery; or many other ...
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