Q) To address increasing delinquencies in ACME Bank's mortgage portfolio, the chief credit officer has decided to allow modifications on mortgage, which would change a borrower's interest rate and loan term structure. Modification may only be conducted on delinquent borrowers and require three monthly trial payment in a row before a borrower may be considered 'current again. Delinquent Defaulted paid off 0.01 0.02 0 Current 0.97 0.25 10 0 Current Delinquent Paid Off Defaulted 0.7 0.05 O Assume that in any given month the percentage of delinquent borrowers who are interested in the modification program is 25%, and that the probability of a borrower being able to make any one trial payment under the modification program is 60%. Create a graph and a transition matrix to reflect this program. Is there anything unrealistic these assumptions? If yes, what? Assume that 900 borrowers are current, and 100 borrowers are delinquent before the modification program is implemented. Over the course of the next 12 months, how many borrowers can you expect to benefit from program? Please specify any additional assumptions you need to make. (please use SAS when necessary) Q) To address increasing delinquencies in ACME Bank's mortgage portfolio, the chief credit officer has decided to allow modifications on mortgage, which would change a borrower's interest rate and loan term structure. Modification may only be conducted on delinquent borrowers and require three monthly trial payment in a row before a borrower may be considered 'current again. Delinquent Defaulted paid off 0.01 0.02 0 Current 0.97 0.25 10 0 Current Delinquent Paid Off Defaulted 0.7 0.05 O Assume that in any given month the percentage of delinquent borrowers who are interested in the modification program is 25%, and that the probability of a borrower being able to make any one trial payment under the modification program is 60%. Create a graph and a transition matrix to reflect this program. Is there anything unrealistic these assumptions? If yes, what? Assume that 900 borrowers are current, and 100 borrowers are delinquent before the modification program is implemented. Over the course of the next 12 months, how many borrowers can you expect to benefit from program? Please specify any additional assumptions you need to make. (please use SAS when necessary)