水瓶公主 · 2023年07月11日
NO.PZ2020033002000031
问题如下：
One-year BBB-rated bonds have a spread of 2.5% over risk-free Treasuries of the same maturity. It is estimated that all non-credit factors (e.g. liquidity risk, taxes, etc.) have a 1% spread. What is the implied probability of default for this bond, assuming a loss given default rate of 60%?
选项：
A.
1.50%
B.
2.00%
C.
2.50%
D.
3.75%
解释：
C is correct.
考点：Infer Credit Risk from Corporate Bond Prices.
解析：
预期违约的利差为2.5%-1%=1.5%
1.5%/60%=2.5%
YTM—rf这个spread指的是信用风险的spread吗？
NO.PZ2020033002000031 问题如下 One-yeBBB-ratebon have a spreof 2.5% over risk-free Treasuries of the same maturity. It is estimatethall non-cret factors (e.g. liquity risk, taxes, etc.) have a 1% sprea Whis the implieprobability of fault for this bon assuming a loss given fault rate of 60%? A.1.50% B.2.00% C.2.50% 3.75% C is correct.考点Infer Cret Risk from Corporate BonPrices.解析 预期违约的利差为2.5%-1%=1.5%1.5%/60%=2.5% 请问，什么情况下只考虑信用风险sprea什么情况下需要考虑各种风险的SPREA听完课仍然非常糊涂，烦请一下，谢谢。
NO.PZ2020033002000031 问题如下 One-yeBBB-ratebon have a spreof 2.5% over risk-free Treasuries of the same maturity. It is estimatethall non-cret factors (e.g. liquity risk, taxes, etc.) have a 1% sprea Whis the implieprobability of fault for this bon assuming a loss given fault rate of 60%? A.1.50% B.2.00% C.2.50% 3.75% C is correct.考点Infer Cret Risk from Corporate BonPrices.解析 预期违约的利差为2.5%-1%=1.5%1.5%/60%=2.5% 最后一个公式是哪里来的，这道题涉及的知识点在哪里呢
2.00% 2.50% 3.75% C is correct. 考点Infer Cret Risk from Corporate BonPrices. 解析 预期违约的利差为2.5%-1%=1.5% 1.5%/60%=2.5% 请问这题为什么要减掉1%呢，什么时候该减什么时候不该减呢
