Question
Consider the following information: Rating: AAA AA A BBB BB B CCC CCC Default probability : 0.00% 0.10% 0.20% 0.50% 2.20% 5.50% 12.20% 14.10% Beta
Consider the following information:
| Rating: | AAA | AA | A | BBB | BB | B | CCC | CCC |
| Default probability: | 0.00% | 0.10% | 0.20% | 0.50% | 2.20% | 5.50% | 12.20% | 14.10% |
| Beta | 0.01 | 0.02 | 0.03 | 0.1 | 0.15 | 0.25 | 0.3 | 0.5 |
Suppose the market risk premium is 5% and the risk-free rate is 1%. Estimate the Yield to Maturity of a CCC-rated bond assuming that the loss in case of default is 60%. The Yield to Maturity is closest to?
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Debt Resisters Operations Manual
Authors: Strike Debt Strike Debt
1st Edition
1604866799, 978-1604866797
