Question
All of the securities below have semi-annual payments. [Do not round interim calculations] Years Face Security Rating Maturity Value Coupon Rate Market Price Treasury 1
All of the securities below have semi-annual payments. [Do not round interim calculations]
| Years | Face |
| |||
| Security | Rating | Maturity | Value | Coupon Rate | Market Price |
| Treasury |
| 1 | $ 1,000 | 0.00% | $ 955.00 |
| Treasury |
| 5 | $ 1,000 | 2.00% | $ 812.00 |
| Treasury |
| 10 | $ 1,000 | 3.50% | $ 777.00 |
| Treasury |
| 15 | $ 1,000 | 6.70% | $ 1,001.44 |
| Treasury |
| 20 | $ 1,000 | 6.60% | $ 966.50 |
| Corp A | B | 5 | $ 1,000 | 9.10% | $ 1,000.00 |
| Corp B | BB | 10 | $ 1,000 | 8.00% | $ 959.88 |
| Corp C | AA | 20 | $ 1,000 | 8.20% | $ 972.22 |
What is the default risk premium for a B-rated bond?
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Term Structure Models A Graduate Course
Authors: Damir Filipovic
2009th Edition
364226915X, 978-3642269158
