LGD不知道啊 没给啊 给了差不多就能算出来了

From Handbook page 536, 3rd paragraph, "Upon default, the protection buyer receives the face value minus the recovery rate f, here ASSUMED to be 40%." ----> which indicates LGD to be 60%.

计算出 2 year cummulative PD is 2.14% 后

EXPECTED LOSS = CDS PRICE =  10m x LGD X PD
LGD = 1-60%
PD =  (fiirst year default rate + second year default rate  ) / 2   ---average PD over two year
= (1%+1.4%)    / 2

这个问题不难
说明你书都没有看懂
这是属于基本的问题
呵呵
好好看书
祝你好运