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SOLVED: A portfolio consists of two bonds. The probability of jointdefault of the two bonds is 1.27%, and the defaultcorrelation is 30%. The bond value, default probability, andrecovery rate are USD 1,000,000,3%, and 60% for one bond,and USD 600,000,5%, and 40% for the other.Q1: What is the expected credit loss (ECL) of the portfolio?Q2: What is the best estimate of the unexpected credit loss (awayfrom the ECL) at a confidence level of 98% over aone-year horizon for this portfolio?

SOLVED: A portfolio consists of two bonds. The probability of jointdefault of the two bonds is 1.27%, and the defaultcorrelation is 30%. The bond value, default probability, andrecovery rate are USD 1,000,000,3%, and 60% for one bond,and USD 600,000,5%, and 40% for the other.Q1: What is the expected credit loss (ECL) of the portfolio?Q2: What is the best estimate of the unexpected credit loss (awayfrom the ECL) at a confidence level of 98% over aone-year horizon for this portfolio?

2023年7月22日

SOLVED:Suppose that the risk-neutral default probability for a one-year zero-coupon bond is 1 % and the real-world default probability for the bond is 0.25 %. The risk-free yield curve is flat at 6 % and the excess return of the market over the risk-free rate is 5 %. What does this imply about the bond's beta? Assume no recovery in the event of default.

SOLVED:Suppose that the risk-neutral default probability for a one-year zero-coupon bond is 1 % and the real-world default probability for the bond is 0.25 %. The risk-free yield curve is flat at 6 % and the excess return of the market over the risk-free rate is 5 %. What does this imply about the bond's beta? Assume no recovery in the event of default.

2020年5月12日

How Likely Is It That a Bond Will Default?

How Likely Is It That a Bond Will Default?

2022年9月9日

thebalancemoney.com

Question 7:Suppose the prospects for recovering principal for a default bond issue depend on which of two economic scenarios prevails. Scenario 1 has a probability of 0.75 and will result in a recovery of 0.90 per1 principal value with a probability of 0.45, or a recovery of 0.80 per1 principal value with a probability of 0.55. Scenario 2 has a probability of 0.25 and will result in a recovery of 0.50 per1 principal value with a probability of 0.85, or a recovery of 0.40 per1 principal value wit

Question 7:Suppose the prospects for recovering principal for a default bond issue depend on which of two economic scenarios prevails. Scenario 1 has a probability of 0.75 and will result in a recovery of 0.90 per1 principal value with a probability of 0.45, or a recovery of 0.80 per1 principal value with a probability of 0.55. Scenario 2 has a probability of 0.25 and will result in a recovery of 0.50 per1 principal value with a probability of 0.85, or a recovery of 0.40 per1 principal value wit

2021年10月27日

Explain the difference between an unconditional default probability density and a hazard rate. The hazard rate, h(t) at time t is defined so that h(t) Δt is the probability of default between times t and t Δt conditional on no default prior to time t. The unconditional default probability density q(t) is defined so that q(t) Δt is the probability of default between times t and t Δt as seen at time zero. | Numerade

Explain the difference between an unconditional default probability density and a hazard rate. The hazard rate, h(t) at time t is defined so that h(t) Δt is the probability of default between times t and t Δt conditional on no default prior to time t. The unconditional default probability density q(t) is defined so that q(t) Δt is the probability of default between times t and t Δt as seen at time zero. | Numerade

SOLVED: 1)An analyst estimates that the probability of default on a seven-year AA-rated bond is 0.06, while that on a seven-year A-rated bond is 0.13. The probability that they will both default is 0.04.a. What is the probability that at least one of the bonds defaults?b. What is the probability that neither the seven-year AA-rated bond nor the seven-year A-rated bond defaults? 2)The probabilities that stock A will rise in price is 0.40 and that stock B will rise in price is 0.60. Further, if st

SOLVED: 1)An analyst estimates that the probability of default on a seven-year AA-rated bond is 0.06, while that on a seven-year A-rated bond is 0.13. The probability that they will both default is 0.04.a. What is the probability that at least one of the bonds defaults?b. What is the probability that neither the seven-year AA-rated bond nor the seven-year A-rated bond defaults? 2)The probabilities that stock A will rise in price is 0.40 and that stock B will rise in price is 0.60. Further, if st

2022年6月28日

Assume that the default probability for a company in a year, co... | Filo

Assume that the default probability for a company in a year, co... | Filo

Assume that the default probability for a company in a year, co... | Filo

已浏览 5253 次9 个月之前

A default-free zero-coupon bond costs 91 dollarand will pay 100 dollar at maturity in 1 year. What is the effective annual interest rate? What is the payoff diagram for the bond? The profit diagram? | Numerade

2020年5月12日

Default: What It Means, What Happens When You Default, and Examples

2009年1月1日

investopedia.com

5 Components of a Bond Investor's Required Rate of Return

2022年9月8日

thebalancemoney.com

SOLVED: Suppose that a bank has a total of 10 million of exposures of a certain type. The l-year probability of default averages 1 % and the recovery rate averages 40 %. The copula correlation parameter is 0.2 . Estimate the 99.5 % 1-year credit VaR. | Numerade

2020年5月12日

Russia pitches into first major external bond default in century

2022年6月27日

aol.comKarin Strohecker

Federal Reserve expected to raise interest rates

2022年11月1日

CBS NewsIrina Ivanova

SOLVED: At the Bank of California, past datashow that 20% of all credit card holders default at sometime in their lives. On one recent day, this bankissued 18 credit cards to new customers. Find theprobability that of these 18 customers, eventually lessthan 3 will default.

2021年9月14日

SOLVED:Explain carefully the distinction between real-world and risk-neutral default probabilities. Which is higher? A bank enters into a credit derivative where it agrees to pay 100 at the end of one year if a certain company's credit rating falls from A to BBB of lower during the year. The one year risk-free rate is 5 % . Using Table 26.8 , estimate a value for the derivative. What assumptions are you making? Do they tend to overstate or understate the value of the derivative?

2020年5月12日

SOLVED:Should researchers use real-world or risk-neutral default… | Numerade

2021年7月1日

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