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　　1. BBB-rated firms have default probability of 0.2% over a period of one year. Based on this information the default probability over the next quarter will be CLOSEST to:
　　A.      0.05%.
　　B.       0.45%.
　　C.       0.50%.
　　D.      1.50%.
　　2. A CBO (collateralized bond obligation) consists of several tranches of notes from a repackaging of corporate bonds, ranging from equity to super senior. Which of the following is generally true of these structures?
　　A.      The total yield of all the CBO tranches is slightly less than the underlying repackaged bonds to allow the issuer to recover fees/costs/ profits.
　　B.       The super senior tranche has expected loss rate higher than the junior tranche.
　　C.       The super senior tranche is typically rated below AAA and sold to bond investors.
　　D.      The equity tranche does not absorb the first losses of the structure.
　　3. What is the most significant difference to consider when assessing the credit worthiness of a country rather than a company?
　　A.      The country’s willingness and its ability to pay must be analyzed.
　　B.       Financial data on a country is often available only with long lags.
　　C.       It is more costly to do due diligence on a country rather than on a company.
　　D.      A country is often unwilling to disclose sensitive financial information.
　　4. Assume a bank wants to limit its losses in a particular sector to 5% of its capital and that the loss rate for this sector is 50%. The concentration limit for this particular borrower is closest to:
　　A.      8.33%
　　B.       2.50%
　　C.       10.00%
　　D.      25.00%
　　5. Which of the following is not a commonly used method for generating a recovery rate function?
　　A.      Nonparametric kernel estimation.
　　B.       Cubic SPLINE estimation.
　　C.       Assume the recovery rate follows a beta distribution.
　　D.      Estimate conditional densities with generalized method of moments.
　　
        ANSWER:
　　1. Correct answer: A
　　Assuming a constant marginal default probability, Default probability over a quarter = 1- (1- Default probability over a year)^(1/4) = 1 - (1 - 0.2%)^0.25 = 0.05%. However, the marginal rate of default for high credits tends to rise with the time horizon. So, the default probability for the immediate quarter is likely to be lower than the average of 0.0005.
　　2. Correct Answer: A
　　In the absence of transaction costs or fees, the yield on the underlying portfolio should be equal to the weighted average of the yields on the different tranches. With costs, however, the CBO yield will be slightly less. Otherwise, the senior tranche is typically rated AAA, has the lowest loss rate of all tranches, and absorbs the last loss on the structure.
　　3. Correct answer: A
　　Countries cannot be forced into bankruptcy. There is no enforcement mechanism for payment to creditors such as for private companies. Recent history has shown that a country can simply decide to renege on its debt. So, willingness to pay is a major factor in assessing the creditworthiness of a country.
　　4. Correct answer: C
　　5%/50%=10%
　　5. Correct answer: B
　　Cubic SPLINE estimation would make little sense here.
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