Assume the following information is available for assets O and A:
while rm = 9.00% and 2(rm) = 6.00%.
Calculate based on the assum
Determine the expected inflation rate if the nominal interest rate is 8%, and the real
interest rate is 3%.
Determine the disposable real interest rate if the real interest rate is 3%,
Determine the zero-coupon rates, the forward rates, and the discount factors based on the
following bond market.
Determine whether the Danish OMXC20 CAP GI index (Closing Prices) fulfils the random
walk hypothesis for the period 2 January 2015 to 28 February 2017. Estimate the
parameters and in the r
The spread between the yield on a three-year corporate bond and the yield on a similar
risk-free bond is 50 basis points. The recovery rate is 30%. Estimate the average default
intensity per year over the three-year pe
Explain the difference between a regular credit default swap and a binary credit default
Both provide insurance against a particular company defaulting during a period of
time. In a credit default swap the
May 26, 2009
23.25. Suppose that the risk-free zero curve is flat at 6% per annum with continuous compounding and that defaults can occur at times 0.25 years, 0.75 years, 1.25 years, and 1.75
years in a 2-year plain vanilla c