NO.PZ202209060200004203
问题如下:
The bond in Exhibit 2 with the best relative value is most likely:
选项:
A.Bond D.
B.Bond E.
C.Bond F.
解释:
SolutionA is correct. Bond D has the best relative value; its expected excess return (EXR) has the smallest loss given the expectation that credit spreads are going to widen by 25 bps (the change in the Z-spread). The expected excess return calculation is as follows:EXR = (s × t) – (∆s × SD) – (t × p × L)where
s = Z-spread
t = Holding period
SD = Spread duration
p = Probability of default
L = Loss severity
Calculations are as follows:
B is incorrect because Bond D has the best expected excess return.
C is incorrect because Bond D has the best expected excess return.
我不知道为啥,算出来都是负数