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The credit rating of a company was downgraded. Given the following consequences of the downgrade, determine the effect on the yield of the credit downgrade
The credit rating of a company was downgraded. Given the following consequences of the downgrade, determine the effect on the yield of the credit downgrade on company.
Term of maturity | 10 years |
P0 | 103 |
P1 | 98 |
Par value | 100 |
Modified duration | 9.76 |
Increase of 50 bps
Increase of 70 bps
Increase of 60 bps
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