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ML Credit Deriv Handbook
So i'm looking at the Merrill Credit Deriv handbook '03 publication. So assuming a 5yr CDS spread of 380, and recovery rate of 40% they bootstrap the survival probabilities from years 1-10. I'm trying to back into their numbers but am not getting there. I'm assuming they're starting with an intensity of 3.8%/(1-0.4). Wondering if anyone could shed some light on this. thanks.