NO.PZ202209060200004503
问题如下：
Assuming no change in credit spreads, which data item that the analysts provide Stone would portfolio managers most likely find useful in their analysis?选项：
A.Historical sector default rates B.Rating agency credit outlook C.Expected probability of default解释：
SolutionC is correct. In the case of unchanged spreads, credit relative value analysis is essentially about weighing the unknown prospect of default losses or credit rating migration against the known compensation provided by credit spreads. Excess return can be calculated as EXR ≈ (s)(t) – (Δs)(SD) – (t)(p)(L), where EXR = Excess return, s = Spread, t = Holding period, Δs = Change in spread, SD = Spread duration, p = Expected probability of default, and L = Expected loss severity. The data item most useful for relative value analysis is the expected probability of default.
A is incorrect because historical sector default rates would be useful in a top-down—not bottom-up—approach.
B is incorrect because yield and rating agency credit outlook do not provide the necessary input for the excess return formula.
为什么说historical sector default rates不能用呢？
