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：对于bondA，通过金融计算器：PV=-98 FV=100 PMT=4.25 N=1 CPT I/Y=6.3776 年化YTM=12.76%spread=YTM-rf=12.76%-4.5%=8.255%债券B：PV=-101 FV=100 PMT=5 N=2 CPT I/Y=4.466% 年化YTM=8.93%spread=YTM-rf=8.93%-5%=3.93%根据题目已知RR=40%，那么spread=PD*RR，谁的spread大，PD肯定就大，A这个半年期bond的PD大于B这个一年期的bond，那么前半年的PD也就肯定大于后半年的PD
4.5%与5%两个量纲不一样，一个是半年的一个是一年的，用8.93%—5%没有意见，但是12.755%—4.5%，因为4.5%是半年的rf，是否需要4.5%*2？
