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Course 45094
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Which of the following statement(s) is(are) true with respect to the Hybrid system?
Consider the following data of a prospective borrower.
Current Assets | 490,300 |
Fixed Assets | 4,006,000 |
Total Assets | 4,496,300 |
Current Liabilities | 187,300 |
Long-term Labilities | 3,000,100 |
Liabilities | 3,187,400 |
Book value of Equity | 1,308,900 |
Working Capital | 500,000 |
Sales | 8,000,000 |
EBIT | 500,000 |
Retained Earnings | 65,000 |
Number of shares | 100,000 |
Price per share | 25 |
Applying Altman’s Z score. What is this company’s Z score (round to two decimals)?
When appraising the profitability of a corporate borrower, what kinds of questions should the lender consider?
Given the following regression model:
Pi=0.8 Current Ratio+ 0.4 (Gross profit/Total assets)+0.5(Equity/Debt)
Where Pi is the probability of repayment. The balance data of ABC Ltd. is shown in the following table.
Current assets | $150,000 |
Non current assets | $400,000 |
Total assets | $550,000 |
Equity | $190,000 |
Current liabilities | $250,000 |
Book value of liabilities | $360,000 |
Sales revenue | $1,000,000 |
Gross income | $15,000 |
EBIT | $250,000 |
What is the probability of default of this company?
The corporate bonds of ABC company are rated as A rating on the market, and a table of transitions probabilities to different ratings and market values is provided below.
Ratings | Transition probability | Market Value $ |
AAA | 1.25% | 112.00 |
AA | 1.70% | 110.00 |
A | 95.00% | 106.00 |
BBB | 1.00% | 105.00 |
BB | 0.50% | 100.00 |
B | 0.50% | 90.00 |
C | 0.02% | 80.00 |
Default | 0.03% | 50.00 |
What is should be the price of this ABC corporate bonds if considering the possible rating migration?
Which of the following statement(s) is(are) true with respect to Marginal Mortality Rate?
Which of the following statement(s) is(are) true with respect to Risk Premium Analysis?
Which of the following statement(s) is(are) false?
A corporate borrower would like to apply for a 10-year $5 million loan to finance its new project from Monash Bank. Monash bank would like to charge this borrower a 1% spread and 0.5% of origination fee and expect a 0.2% of the expected loss. Since the project is very complicated to evaluate, and it will cost Monash bank $ 18,000 to invite experts to assess it. Suppose the risk-adjusted factor (△R)/(1+RL ) and the tax rates are 1% and 25% respectively, what is the RORAC of this borrower?
A company would like to borrow a $1 million loan from the bank for 3 years. This borrower has an AA credit rating on the bond market. The bank has collected related corporate bond returns and government bond returns, presented in the following table.
What’s the probability for the bank to get back the loan and interests at the maturity date?
Table 1 Bond ratings and return rates with different maturities | |||||
| 1 year | 2 year | 3 year | 4 year | 5 year |
AAA | 3.50% | 4.20% | 4.30% | 5.45% | 6.60% |
AA | 3.60% | 4.60% | 4.80% | 5.55% | 6.90% |
A | 4.10% | 4.90% | 5.50% | 5.95% | 7.20% |
BBB | 5.30% | 5.60% | 5.80% | 6.50% | 7.90% |
BB | 6.00% | 6.50% | 6.80% | 7.55% | 8.10% |
B | 7.00% | 7.50% | 8.80% | 9.55% | 10.10% |
CCC | 7.50% | 7.90% | 8.90% | 10.55% | 11.10% |
CC | 7.80% | 8.80% | 9.60% | 10.50% | 12.80% |
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Government Bond | 1.50% | 2.70% | 3.10% | 3.90% | 4.20% |