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非恒名 · 2023年04月29日

能不能拿算一下这三个bond的exr哇

* 问题详情,请 查看题干

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:

Solution

A 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

1 个答案

pzqa31 · 2023年04月29日

嗨,努力学习的PZer你好:


你算的没错,算出来是负数,代表三个bond都有loss,其中bondD负的最少,所以答案说bondD的loss是最少的。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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