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:
我印象中，在基础班讲解这章的例题里（例题课也有），何老师有提到，PD*LGD后面实际也要*t
请问，这道题瞬时变动，PD*LGD后面是不是也应该乘以0？
