Costs and Issuer Risk: Fair Value, Embedded Cost and Default
This lesson is part of the course
In this lesson
You rebuild the fair value of four fictional notes from given parts, find the embedded cost per year, measure how much of a note is paid for by the issuer's credit spread and work out the loss if an issuer defaults.
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Lessons in this course
- Building Blocks: the Zero-Coupon Floor and the Option BudgetFree
- Capital-Protected Notes: Participation Rates and the Cap Trade-Off Locked
- Discount Certificates: Buying the Share Cheaper, Giving Up the Upside Locked
- Reverse Convertibles: Fixed Coupon, Cash or Shares at the Strike Locked
- Barriers and Worst-Of: Touched Flags on Given Price Paths Locked
- Autocall Schedules: Triggers, Coupon Barriers and Memory Coupons Locked
- Costs and Issuer Risk: Fair Value, Embedded Cost and Default Locked
- Capstone: Three Products, the Share and Cash on One Scenario Grid Locked