[2008] Topic 39: Credit Risk: Individual Loan Risk 相关习题 following, required, balance, return

aianjie

 

AIM 1: Compute, given the contractual rate and noninterest charges, the contractually promised gross return on a loan.

1、Given the following information:

Base lending rate = 6.0%

Risk premium = 1.2%

Origination fee = 0.25%

Compensating balance required = 10.0%

Reserve requirement = 12%

The contractually promised rate of return on a loan is closest to:

A) 7.49%.

B) 8.66%.

C) 9.05%.

D) 8.17%.

pizi

顶

aianjie

 

The correct answer is B

The marginal default rate in the sixth year is:

 

 

 

[attach]13914[/attach]

aianjie

 

7、The cumulative default rate for a cohort of bonds in the fifth year after rating is 2.25 percent, and the cumulative default rate for the sixth year is 2.52 percent. The marginal probability of default in the sixth year is closest to:

A) 2.39%.

B) 0.28%.

C) 96.25%. 

D) 0.24%.

aianjie

 

The correct answer is A

We can solve for the 1-year rate and the 1-year forward for the T-note and corporate bond. Then, we can use these two rates to determine the implied probability of default on the corporate note during the second year:

 

 

 

[attach]13913[/attach]

aianjie

 

The correct answer is B

We can solve for the 1-year rate, three years forward for each of the T-notes and corporate bonds. Then, we can use these two rates to determine the implied probability of default on the corporate note during the fourth year.

 

 

 

[attach]13912[/attach]

aianjie

 

5、The current one-year (zero) Treasury yield is 2.00 percent and the one-year yield on a firm’s debt is 2.37 percent. If it were estimated that on default the firm would pay 40 percent of the par value, what is the implied probability of default?

A) 0.375%.

B) 1.185%.

C) 2.370%.

D) 0.617%.

aianjie

 

The correct answer is D

The equation for the 1-year probability of default is:

2.37% - 2.0% = (C1) (1-.40)

C1 = 0.6167%

aianjie

 

6、The rate on a 1-year Treasury note (T-note) is 3.0 percent, and the rate on a 2-year T-note is 3.5 percent. The rate on a 1-year corporate note is 5 percent, and the rate on a 2-year corporate note is 6.8 percent. The implied probability of default on the corporate note in Year 2 is closest to:

A) 4.26%.

B) 2.96%.

C) 3.12%.

D) 4.21%.

aianjie

 

The correct answer is B

The cumulative probability of default is equal to one minus the probability of surviving to the end of the period without default:

 

[attach]13911[/attach]