Analyse a portfolio of loans consisting of 3 companies of your choice with characteristics shown in...
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Analyse a portfolio of loans consisting of 3 companies of your choice with characteristics shown in table below. For example, if you choose company 1 to be Tesla, it will have a maturity of 5 years, repayment value of 12 million and annual interest rate of 6%. All computations must be carried out according to such characteristics. Loan Company Name Company 1 Company 2 Company 3 1 2 3 Maturity 5 4 3 Repayment Value at Annual Maturity $m Interest 12 10 8 6% 7% 5% In your report, you should clearly state the composition of your portfolio (i.e., fill in the table above with the names of three real-world companies). Assume that all three loans are senior unsecured debt denominated in US dollars and that the analysis is conducted on 30th November 2021. The loan will be repaid at maturity date. Clearly state any assumptions you make in your estimations. Using CreditMetrics (full implementation) and KMV, you are required to compute relative VaR and Expected Shortfall with MonteCarlo simulation for the portfolio above at time horizons of 1-year and 2-year periods and confidence interval of 99%. Interpret, compare, and discuss your results critically. Do a reality check on all the above calculations. Are your results according to your expectations? Why or why not? Analyse a portfolio of loans consisting of 3 companies of your choice with characteristics shown in table below. For example, if you choose company 1 to be Tesla, it will have a maturity of 5 years, repayment value of 12 million and annual interest rate of 6%. All computations must be carried out according to such characteristics. Loan Company Name Company 1 Company 2 Company 3 1 2 3 Maturity 5 4 3 Repayment Value at Annual Maturity $m Interest 12 10 8 6% 7% 5% In your report, you should clearly state the composition of your portfolio (i.e., fill in the table above with the names of three real-world companies). Assume that all three loans are senior unsecured debt denominated in US dollars and that the analysis is conducted on 30th November 2021. The loan will be repaid at maturity date. Clearly state any assumptions you make in your estimations. Using CreditMetrics (full implementation) and KMV, you are required to compute relative VaR and Expected Shortfall with MonteCarlo simulation for the portfolio above at time horizons of 1-year and 2-year periods and confidence interval of 99%. Interpret, compare, and discuss your results critically. Do a reality check on all the above calculations. Are your results according to your expectations? Why or why not?
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Composition of the portfolio Loan Company Name Maturity Repayment Value at Maturity m Annual Interest 1 Amazon 5 12 6 2 Microsoft 4 10 7 3 Apple 3 8 5 Assumptions For the purpose of this analysis we a... View the full answer
Related Book For
Corporate Finance A Focused Approach
ISBN: 978-1439078082
4th Edition
Authors: Michael C. Ehrhardt, Eugene F. Brigham
Posted Date:
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