NO.PZ2020033002000030
问题如下：
Assuming a current market risk-free rate of 4% per annum, the yield on the Company A bond is 6% per annum. What is the probability of default inferred from the current interest rate on the company's bonds, assuming the market is reasonably priced, if the recovery rate on the company's bonds is 70%?
选项：
A.3.33%
B.6.67%
C.9.99%
D.2%
解释：
B is correct.
考点：Infer Credit Risk from Corporate Bond Prices
解析 ：信用利差=6%-4% =2%
LGD=1-70%=30%
违约概率=2%/30%=6.67%
老师这道题采用的是YTM-RF约等于 π *（1-f） 直接求出 π。
但是前面一道题是得准确采用1/1+YTM= π*f/1+RF +(1- π)/1+RF 这种定价的原理计算
