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徐威廉 · 2022年08月17日

麻烦老师列出正确答案和步骤

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200001903

问题如下：

Which bond rating category offers the highest expected excess return if spreads instantaneously rise 10% across all ratings categories?

选项：

A.

A rated bond category

B.

BBB rated bond category

C.

BB rated bond category

解释：

A is correct. If spreads rise 10% across all ratings categories, we can use

E[ExcessSpread] ≈ Spread0 –(EffSpreadDur × ΔSpread) – (POD × LGD) to solve

for expected excess spread as follows:


麻烦老师列出正确答案和步骤，谢谢！

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3 个答案
已采纳答案

pzqa015 · 2022年11月07日

嗨，努力学习的PZer你好：


答案是A

EXR of A:0-0.1%*7-0.1%=-0.8%

EXR of BBB:0-0.175%*6-0.75%=-1.8%

EXR of BB:0-0.275%*5-2.5%=-3.88%

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努力的时光都是限量版，加油！

开泰-王飞 · 2022年11月06日

spread0为何全部用0？


pzqa015 · 2022年08月18日

嗨，爱思考的PZer你好：


EXR of A:0-0.1%*7-0.1%=-0.8%

EXR of BBB:0-0.175%*6-0.75%=-1.8%

EXR of BB:0-0.275%*5-2.5%=-3.88%

所以，这道题虽然答案是A，但是解题过程是错误的。

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努力的时光都是限量版，加油！

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