Exam 31: Reduced-Form Models of Default Risk

The average default rate in the economy is 1.5% of the face value of outstanding debt defaults per year.How many years will it be on average before half the firms are no longer in existence if no new firms enter the economy?

(Multiple Choice)

4.8/5

(41)

Question 21

The average default rate in the economy is 1.5% of the face value of outstanding debt defaults per year.What is the average time between defaults if there are 1000 firms alive on average?

(Multiple Choice)

4.7/5

(38)

Question 22

Suppose the default intensity of a firm is 0.10.What is the five-year survival probability of the firm closest to?

(Multiple Choice)

4.9/5

(33)

Question 23

Showing 21 - 23 of 23

The average default rate in the economy is 1.5% of the face value of outstanding debt defaults per year.How many years will it be on average before half the firms are no longer in existence if no new firms enter the economy?

The average default rate in the economy is 1.5% of the face value of outstanding debt defaults per year.What is the average time between defaults if there are 1000 firms alive on average?

Suppose the default intensity of a firm is 0.10.What is the five-year survival probability of the firm closest to?

Overview

Futures Markets

Pricing Forwards and Futures I

Pricing Forwards Futures II

Hedging With Futures Forwards

Interest-Rate Forwards Futures

Options Markets

Options: Payoffs Trading Strategies

No-Arbitrage Restrictions

Early-Exercise/Put-Call Parity

Option Pricing: An Introduction

Binomial Option Pricing

Implementing the Binomial Model

The Black-Scholes Model

Mathematics of Black-Scholes

Beyond Black-Scholes

The Option Greeks

Path-Independent Exotic Options

Exotic Options II: Path-Dependent Options

Value at Risk

Swaps and Floating Rate Products

Equity Swaps

Currency and Commodity Swaps

Term Structure of Interest Rates: Concepts

Estimating the Yield Curve

Modeling Term Structure Movements

Factor Models of the Term Structure

The Heath-Jarrow-Morton Hjmand Libor Market Model LMM

Credit Derivative Products

Structural Models of Default Risk

Modeling Correlated Default

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