NO.PZ2023101601000022
问题如下：
Suppose XYZ Corp. has two bonds
paying semiannually according to the following table. The recovery rate for
each in the event of default is 50%. For simplicity, assume that each bond will
default only at the end of a coupon period. The market-implied risk-neutral
probability of default for XYZ Corp. is
选项：
A.
Greater in the
first six-month period than in the second
B.
Equal between the
two coupon periods
C.
Greater in the
second six-month period than in the first
D.
Cannot be
determined from the information provided
解释：
First, we compute the
current yield on the six-month bond, which is selling at a discount. We solve
for y∗ such that 99 =
104/(1 + y∗/2) and find y∗ =
10.10%. Thus, the yield spread for the first bond is 10.1 − 5.5
= 4.6%. The second bond is at par, so the yield is y∗=
9%. The spread for the second bond is 9 − 6 = 3%. The default rate for the
first period must be greater. The recovery rate is the same for the two
periods, so it does not matter for this problem.
老师您好，请问这是哪个知识点里面的内容呀？可以解释一下这道题嘛？谢谢老师
