2226数理金融简单数值题short

Recover the Market CDS Spread From an Existing Position 6

题目

A protection buyer holds an existing CDS with contractual spread 0.01 and risky annuity RPV01 = 4.2. The buyer's mark-to-market is 0.0252 per unit notional under the linear approximation MTM ≈ (s_mkt - c)*RPV01. What market spread s_mkt is implied?

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