NO.PZ2020033002000034
问题如下：
Grapefruit Bank issued two semi-annual interest-bearing credit bonds, of which bond A matures after half a year, the coupon rate is 8.5%, the current price is $ 98, and the corresponding half-year T-bill interest rate is 4.5%. The bond B expires after one year, the coupon rate is 10%, the current price is $ 101, and the corresponding one-year T-bill rate is 5%. Assuming that their recovery rates are all 40%, and they will only default on the coupon payment date, which of the following statements is correct?
选项：
A.The market implied risk-neutral default probability in the first half of the year is higher than that in the second half.
B.The market implied risk-neutral default probability in the first half of the year is lower than that in the second half.C.The market implied risk-neutral default probability is equal in the first half and the second half.
D.
The market implied risk-neutral default probability in the first half and the second half cannot be compared.
解释：
A is correct.
考点：Spread Risk-DVCS and Credit Spread Curve
解析：由bondA可以得出：98=\frac{104.25}{1+{\displaystyle\frac y2}}，解出半年期bond收益率y=12.755%，那么半年期的spread就是12.755%-4.5%=8.255%。
同理得到债券B：一年期bond的收益率y=8.93%，那么一年期的spread就是8.93%-5%=3.93%。当recovery rate是一样的时候，那前半年的违约概率肯定是高于后半年的。
老师您好，我这道题如果想用精确版公式计算。碰到算B的时候有问题。如果说这个B在0.5年违约了，那他能够拿到多少呢。也就是说这时候EAD该咋算。因为以前都做的零息债，那时候EAD=面值。但是碰到付息债的时候该咋算。麻烦老师解答，谢谢
