NO.PZ202304070100009101
问题如下：
The fair value of bond B2 is closest to:
选项：
A.€1,069.34.
€1,111.51.
€1,153.68.
解释：
Correct Answer: A
The following table shows that the CVA for the bond is €42.17, the sum of the present values of expected loss. The steps taken to complete the table are as follows.
Value of the bond
if the bond were default free would be:
€60 × DF1 + €60 × DF2 + €60 ×
DF3 +€1,060 × DF4 = €1,111.51.
Fair value of the
bond considering CVA = €1,111.51 – €42.17 = €1,069.34
可以写下exposure 3 probability 怎么算吗？
980.75 -- 12.5%
1005.54 -- 25% 为什么是37.5%？
1022.86 -- 25% 为什么是37.5%？
1034.81 --12.5%
