Credit risk spreadsheet (based upon yesterday’s credit risk class problem)

For what it’s worth, I have posted a spreadsheet (based upon yesterday’s credit risk class problem; see the PDF document linked below) the which calculates the fair market values for 1) the uninsured deposits held by banks 1 and 2, 2) the limited liability put options for these banks, 3) these banks’ (risk neutral) probabilities of bankruptcy? 4) the yields to maturity on these bank’s uninsured deposits, and 5) the credit risk premiums for these banks’ uninsured deposits.

Finance 4335 Class Problem – Credit Risk.pdf

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