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Based on notations in this question, assuming the market value recovery mechanism, the pre-default value at time $T_1$ of a zero-coupon bond with maturity $T_2$, where $T_1 < T_2$, is given by \begin{align*} P(T_1, T_2) = E\Big(e^{-\int_{T_1}^{T_2}(r_s +(1-R)h_s)ds}\,\big|\, \mathscr{F}_{T_1}\Big). \end{align*} Let $B_t=e^{\int_0^t r_s ds}$ be the credit ...


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