When I did my room scan, I stood up, and slowly and clearly…

When I did my room scan, I stood up, and slowly and clearly showed ALL the way around my room (360-degrees) from floor to ceiling, showing behind any hidden/obstructed areas and behind where the camera will be placed. I closed all room doors that were open. During my room scan, I clearly showed my entire desk/workspace, including my computer set up and underneath my desk/table.  I used my external camera for the room scan – NOT the camera built into my computer. If you did not complete your room scan as described above, please do so now. By proceeding, you confirm that you understand that not completing the room scan according to the given instructions and requirements will result in a 0 on the exam. *If you are taking your exam in a computer lab on campus – you are still required to complete a room scan as instructed.*

Please use the following balance sheet for Questions 36-38:…

Please use the following balance sheet for Questions 36-38: Suppose there are two ratings categories: A and B, along with default. The ratings-migration probabilities look like this for a B-rated loan: The yield on A rated loans is 5%; the yield on B rated loans is 10%. All term structures are flat (i.e. forward rates equal spot rates). A loan in default pays off 50%.   Question: You have one loan in your portfolio, B-rated, 3-year, 10% coupon bonds (paid annually), with $100 face value. Compute the price of the loan next year if the borrower stays at B rating (just before the first coupon is paid).

Please use the following additional information for Question…

Please use the following additional information for Questions 24-28: Third Bank has the following balance sheet (in millions) with the corresponding risk weights (under Basel III). Common Stock and Retained Earnings are common-equity Tier 1 capital while Perpetual Stock are additional Tier 1 capital. Question: How will the value of the CET1 capital ratio and total capital ratio change if the bank receives $50 million in checking deposits and invests them in Treasury bills (with risk weight of 0)?    

Please use the following balance sheet for Questions 36-38:…

Please use the following balance sheet for Questions 36-38: Suppose there are two ratings categories: A and B, along with default. The ratings-migration probabilities look like this for a B-rated loan: The yield on A rated loans is 5%; the yield on B rated loans is 10%. All term structures are flat (i.e. forward rates equal spot rates). A loan in default pays off 50%.   Question: Using the mean as the benchmark, compute the 1-year VaR with 95% confidence interval for the  loan (based on the actual distribution).