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There is a $100M property (Property A ) that will be worth either $117M with a probability of 0.4 or $93M with a probability of
There is a $100M property (Property A ) that will be worth either $117M with a probability of 0.4 or $93M with a probability of 0.6 in one year. In this exercise, you will analyze the return to a non-recourse collateralized loan and the levered equity. 5. The present value (i.e., premium) of the borrower's default option is $1.32M. What is the present value of Loan B for the lender
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