Bank has a loan to a single borrower with the following characteristics: Original loan amount: $200 million
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Question:
Bank has a loan to a single borrower with the following characteristics:
Original loan amount: $200 million
Maturity: 10 years
Interest rate: 5%
Collateral: commercial real estate worth $125 million
Expected recovery rate in case of default: 100%
Credit rating: Ba
Statistical measurement of default risk 1970 - 2014 from Moody's :
1 year | 5 years | 10 years | |
Aaa | 0.00 | 0.10 | 0.46 |
Aa | 0.02 | 0.40 | 1.02 |
A | 0.06 | 0.96 | 2.74 |
Baa | 0.17 | 1.80 | 4.42 |
Ba | 1.08 | 9.74 | 18.73 |
B | 3.71 | 23.09 | 39.16 |
Caa1 - C | 14.95 | 46.97 | 63.92 |
1.The loss given default is?
2.the exposure at default is $?
3.the probability of default?
4.and the expected loss is $?
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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