Chapter 10 34.The following is a schedule of historical defa
Chapter 10 34.The following is a schedule of historical defaults (yearly and cumulative) experienced by an FI manager on a portfolio of commercial and mortgage loans. Years after Issuance Loan Type 1 Year 2 Years 3 Years 4 Years 5 Years Commercial: Annual default 0.00% _____ 0.50% _____ 0.30% Cumulative default _____ 0.10% _____ 0.80% _____ Mortgage: Annual default 0.10% 0.25% 0.60% _____ 0.80% Cumulative default _____ _____ _____ 1.64% _____ Complete the blank spaces in the table. What are the probabilities that each type of loan will not be in default after five years? What is the measured difference between the cumulative default (-mortality) rates for commercial and mortgage loans after four years? Chapter 11 12. A bank vice president is attempting to rank, in terms of the risk-reward trade-off, the loan portfolios of three loan officers. Information on the portfolios is noted below. How would you rank the three portfolios? Portfolio Expected Return Standard Deviation A 10% 8% B 12 9 C 11 10 13.Suppose that an FI holds two loans with the following characteristics. Loan Xi Annual Spread between Loan Rate and FI’s Cost of FundsAnnual Fees Lossto FI Given Default Expected Default Frequency 1 0.45 5.5% 2.25% 30% 3.5% ρ12 = −0.15 2 0.55 3.5 1.75 20 1.0 Chapter 15 4. Follow Bank has a $1 million position in a five-year, zero-coupon bond with a face value of $1,402,552. The bond is trading at a yield to maturity of 7.00 percent. The historical mean change in daily yields is 0.0 percent and the standard deviation is 12 basis points. A. What is the modified duration of the bond? B. What is the maximum adverse daily yield move given that we desire no more than a 1 percent chance that yield changes will be higher than this maximum? C. What is the price volatility of this bond? D. What is the daily earnings at risk for this bond?
Collepals.com Plagiarism Free Papers
Are you looking for custom essay writing service or even dissertation writing services? Just request for our write my paper service, and we'll match you with the best essay writer in your subject! With an exceptional team of professional academic experts in a wide range of subjects, we can guarantee you an unrivaled quality of custom-written papers.
Get ZERO PLAGIARISM, HUMAN WRITTEN ESSAYS
Why Hire Collepals.com writers to do your paper?
Quality- We are experienced and have access to ample research materials.
We write plagiarism Free Content
Confidential- We never share or sell your personal information to third parties.
Support-Chat with us today! We are always waiting to answer all your questions.
