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陈骋 · 2022年10月07日

题目是说revises the bond’s original recovery rate higher,revise修正?那不就是认为RR降低?

NO.PZ2021120102000012

问题如下:

Which of the following outcomes is most likely if the junior analyst revises the bond’s original recovery rate higher?

选项:

A.

An increase in the bond’s POD

B.

A decrease in the bond’s POD

C.

A decrease in the bond’s credit spread

解释:

C is correct. An increase in a bond’s recovery rate will lower the loss severity, or LGD, because LGD = (1 – RR).

Recall the simple one-period relationship between credit spreads, LGD, and the POD as Spread ≈ LGD × POD. A lower LGD will result in a lower spread.

RR低了,spread就高了,C不是反了吗

1 个答案

pzqa015 · 2022年10月08日

嗨,从没放弃的小努力你好:


题目是把RR给调高了,是higher,不是更低了。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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