34. The following is a schedule of historical defaults (yearly and cumulative) experienced by an FI manager on a portfolio of commercialand mortgage loans.Loan TypeCommercial:Annual defaultCumulative defaultMortgage:Annual defaultCumulative default1 Year0.00%0.102 Years0.10%0.25Years after Issuance3 Years0.50%0.604 Years0.80%1.645 Years0.30%0.80a. Complete the blank spaces in the table.b. What are the probabilities that each type of loan will not be in default after five years?c. What is the measured difference between the cumulative default (mortality) rates for commercial and mortgage loans after fouryears?

We have to use the probability theory and statistics to answer the question. Cumulative rate is the…

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. Loan Type Commercial: Annual default Cumulative default Mortgage: Annual default Cumulative default 1 Year 0.00% 0.10 2 Years 0.10% 0.25 Years after Issuance 3 Years 0.50% 0.60 a. Complete the blank spaces in the table. b. What are the probabilities that each type of loan will not be in default after five years? 4 Years 0.80% 1.64 5 Years 0.30% 0.80

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. Loan Type Commercial: Annual default Cumulative default Mortgage: Annual default Cumulative default 1 Year 0.00% 0.10 2 Years 0.10% 0.25 Years after Issuance 3 Years 0.50% 0.60 a. Complete the blank spaces in the table. b. What are the probabilities that each type of loan will not be in default after five years? 4 Years 0.80% 1.64 5 Years 0.30% 0.80

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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am. 80.
A mortgage that allows the borrower to pay less than the interest due for a few year (A) negative-amortization mortgage.. B credit-default swap. C) traditional, thirty-year fixed-rate mortgage. D "liar loan".
Using this table as needed, calculate the required information for the mortgage. Number Table Total Monthly Payment (in $) Term Amount Interest of Loan of $1,000s Factor Interest Financed Rate (years) Financed (in $) (in $) $85,500 8.00% 30 %24 %24 %24
Using this table as needed, calculate the required information for the mortgage. (Round dollars to the nearest cent.) Number Table Monthly Payment (in $) Term Total Amount Interest of Loan (years) of $1,000s Financed Factor Interest Financed Rate (in $) (in $) $165,300 5.25% 15 %24 %24 %24
Assume you have the following asset and liability in your Balance Sheet: Asset - Bond A Modified Duration = 2.6 years Value = RM1.5 million Liability - Bond B Modified Duration = 3.1 years Value = RM1.0 million a. Calculate the duration gap. b. What is the expected change in Net Worth if interest increases by 1%? Assume previous interest is 10% c. What should or could you to achieve immunised balance sheet? Note: Please show all workings.
A bank holds a loan portfolio with the following characteristics: Loan i Xi Annual spread between loan rate and bank’s cost of funds Annual fees Loss to bank given default Expected default frequency Correlation 1 .6 6% 3% 20% 3% -0.2 2 .4 5% 2% 30% 5% Question 1: what is the return and standard deviation on loan 1? Question 2: what is the return and standard deviation on loan 2?
For the second mortgage application, calculate the percentage of appraised value and the potential credit (in $). Percentage of Percentage Appraised Value (in $) First Mortgage Potential Appraised Value Lender's Balance of Credit (in $) $127,500 70% $ $53,200 $ %24 %24
Use the following to answer questions 3-4: Use balance sheet available for an FI (all in market values). Consumer loans $150 m Liabilities $300 m Commercial Loans $250 m Equity $100 m Total Assets $400 m Total Liabilities & Equity $400 m The average duration of the loans is 8 years. The average duration of the liabilities is 2 years. 3. What is the duration gap of the bank's portfolio? A. 10 years B. 6.3 years C. 6.5 years D. 7.98 years E. 8.0 years 4. What is the change in the value of the FI's equity for a 1 percent increase in interest rates from the current rates of 0.07 (1.e., 7 percent)? Assume flat term structure, and parallel shifts in yield curves. Use the duration concept. A. $17.30987 m B. $19.51818 m C. -S 22.59093 m D. -$23.11114 m E. - $24.29906 m
Assume you have the following asset and liability in your Balance Sheet:Asset - Bond AModified Duration = 2.6 yearsValue= RM1.5 millionAAFARLiability - Bond BModified Duration = 3.1 yearsValue= RM1.0 milliona. Calculate the duration gap. b. What is the expected change in Net Worth if interest increases by 1%?attachment. calculation step by step
ff1

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