Already have an account? Get multiple benefits of using own account!
Login in your account..!
Remember me
Don't have an account? Create your account in less than a minutes,
Forgot password? how can I recover my password now!
Enter right registered email to receive password!
Question #1
Given the recent high-yield bond yield-to-maturity spread of about 800bps, and considering that the expected default rate and recovery rates in 2016 will be equal to the history averages (3.7% [slide 11] and 39.0% [slide 105] respectively), what could be the Expected Return Spread for the year 2016 for an investment in an Index of high-yield bonds?
What would be the Expected Return Spread if the expected default rate was 5.2% and the expected recovery rate was equal to 35.0%?
Question 2
What is the expected Return on Equity for the equity tranche in each of the first two years of a five year CLO (Collateralized Loan Obligation)?
Information:- $2.0 billion dollar pool.- Fees are paid at the end of the year and are 1% (of face value) in the first year and 1% (of face value) in the second year.- Assume that the defaults occur at the beginning of the second-half of each year.- The recovery from the defaults is invested immediately at (5%).- The annual interest on the pool of loans (i=10%) is paid semiannually and is based on the remaining balance of loans in the pool.- The default rates and recovery rates are provided below: Losses are not reduced from equity until the end of the CLO.
Year One Year Two
Default Rate 3% 8%
Recovery Rate 40% 40%
Do you believe that market driven pricing can sometimes result in mispricing of risks? Please elaborate. Explain the reasons why NPV pricing is not commonly used, despite its strong theoretical foundations.
Describe the components of business risk, and discuss how the components affect the variability of operating earnings (EBIT).
Consider an option that expires in 68 days. The bid and ask discounts on the Treasury bill maturing in 67 days are 8.20 and 8.24, respectively. Find the approximate risk-free rate.
Explain the steps in the risk management process. Which step is the most important? Explain the advantages of using a captive insurer in a risk management program.
Explain in detail why you believe the risk management, control identification, and selection processes are so important, specifically in this organization
Exercise: Identify a large bank or a large corporation listed in the stock market. Go through the publicly available information to gauge how effectively the diversification is used to mitigate the credit portfolio risks.
perform a risk analysis on the reengineered process. identify obstacles to the reengineered process. evaluate obstacles to the reengineered process
Scope of the Risk Management Plan. Define and identify the boundaries of the risk management plan scope. Risk Management Plan Components. Identify the components to be included in the Risk Management Plan.
List and describe four methods for identifying risks
There are three phases of risk management that has been established. Which one of these phases is most important and why? If you don't feel one phase is more important please make a case.
What is Maslows Hierarchy of needs and how does it apply today?
Do you agree with the statement that sector or name concentration pays off in equities but not in credit? Explain with reasons. What do you mean by country risk in the context of a credit portfolio?
Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!
whatsapp: +1-415-670-9521
Phone: +1-415-670-9521
Email: [email protected]
All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd