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Course 37309

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Let us assume the following deposit rates 

Maturity%
1 year deposit7
2 year deposit4.6

Please calculate the expected forward interest rate for deposit starting at the end of first year and lasting one year (one year forward rate). 

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Let us assume that the one year risk-free interest rate is 2.1%. Now imagine that the yield of corporate bond maturing one year from today is 12.9%. The current market price of corporate bond is 164.71 EUR.

Please calculate the probability of default of the corporate bond i.e. the likelyhood that the corporation will default in one year.

  Present your answer in percent without inserting percentage sign (%). 

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Bank has invested 400 mio EUR into government bonds with duration 2 years and 600 mio EUR into government bond with duration 4 years. What is the overall duration of the portfolio?

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One year goverment bond yield of Germany is 8.2 % (the risk free rate) and the one year government bond of Alphaland is 5.7 %. 

What is the implied probability of default of Alphaland for the next 12 monhts?

Please omit the % sign in your answer.

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Ten year German government bond yield is 1.5 %. The yield for Betaland's government bond is 7.6%. These are annual yields. 

Assuming German government bond risk-free, what is the expected probability of default of Betaland for the next 10 years?

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If EUR/USD=1.37 and EUR/JPY=150.12 then what would be the exchange rate for USD/JPY which excludes the possibility of arbitrage?

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One period loan contract has a principal amount of 100000 EUR. 

The probability of default is 4.7 %.

In case of default on average 50% of principal value of the loan is lost due to the legal costs and fire sales price of the collateral. 

What is Expected Loss of this loan contract? 

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Imagine that you will invest into appartment which delivers you a net cash flow (after all expenses) of 7000 EUR per year. This cash flow lasts forever. What would be a price of this appartment if the discount rate of such projects would be 4.5%?

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If average stock portfolio would yield 2.1% per annum then how much time would it take for a portfolio to increase 3 times in value if all profits are reinvested? State the answer as a number with 2 decimals (for example, 13.02).

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How much time would it take for the stock portfolio to double in value if the rate of return is 2.0%? Use the rule of 70 to find the answer [just google it]. State the answer as a number with 2 decimals (for example, 13.02).

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