Credit Risk Management Problems

Problems in Credit Risk Management September 16, 2009 By A. V. Vedpuriswar

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Solution ,[object Object],[object Object],[object Object],[object Object]

Solution ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Solution ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Solution ,[object Object],[object Object],[object Object],[object Object],[object Object]

Problem ,[object Object],[object Object],[object Object],[object Object]

Solution ,[object Object],[object Object],Risk free bond Corporate bond Year Cash flow PV factor e -(.03)t PV PV factor e -(.05)t PV .5 2 .9851 1.9702 .9754 1.9508 1.0 2 .9704 1.9408 .9512 1.9024 1.5 2 .9560 1.9120 .9277 1.8554 2.0 2 .9418 1.8836 .9048 1.8096 2.5 2 .9277 1.8554 .8825 1.7650 3.0 2 .9139 1.8278 .8607 1.7214 3.5 2 .9003 1.8006 .8395 1.679 4.0 102 .8869 90.4638 .8187 83.51 103.6542 96.21

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Solution (Cont…) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Solution (Cont…) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Solution (Cont…) ,[object Object],[object Object],[object Object],Default point (Years) Expected losses PV 1 (104.78 – 30)Q = 74.78Q (74.78)Qe -.03 = 72.57Q 2 (103.88 – 30)Q = 73.78Q (73.88)Qe -.06 = 69.58Q 3 (102.95 – 30)Q = 72.95Q (72.95)Qe -.09 = 66.67Q 4 (104 – 30)Q = 72 Q (72)Qe -.12 = 63.86Q 272.68 Q

Solution ,[object Object],[object Object],[object Object]

Problem ,[object Object],[object Object],[object Object],[object Object],[object Object]

Problem ,[object Object],[object Object],[object Object]

Solution ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Solution ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

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[object Object],[object Object],[object Object],[object Object],[object Object],Solution

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Credit Risk Management Problems

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Credit Risk Management Problems