Question
Firm XYZ has a one year zero coupon bond with Face Value (FV) of $100 and price $90. (a) Find the bonds YTM. (b) If
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Firm XYZ has a one year zero coupon bond with Face Value (FV) of $100 and price $90.
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(a) Find the bonds YTM.
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(b) If there is a 15% probability the firm will default in one year, and the recovery rate is 60%, find the bonds Expected YTM.
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(c) If the default probability is higher, what happens to the Expected YTM.
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Derivatives And Internal Models
Authors: Hans Peter Deutsch, Mark W. Beinker
5th Edition
3030229017, 9783030229016
