Question
FIN300 Inc.'s 5 year bonds yield 7.50% and 5 year T-bonds yield 4.90%. The real risk-free rate is r*= 2.5%, the default risk premium for
FIN300 Inc.'s 5 year bonds yield 7.50% and 5 year T-bonds yield 4.90%. The real risk-free rate is r*= 2.5%, the default risk premium for FIN300's bonds is DRP= 0.40%, the liquidity premium on FIN300's bonds is LP= 2.2% versus zero on T-bonds, and the inflation premium (IP) is 1.5%.
What is the maturity risk premium (MRP) on all 5 year bonds?
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Measuring And Managing Credit Risk Quantitative Approach For Default Risk Data Analysis And Models For Loss Distributions Unique Strategies For Back Capital Allocation And Saucerization
Authors: Arnaud De Servigny , Olivier Renault
1st Edition
0071417559,007178800X
