为什么不用spread /LGD

问题如下：

An analyst is reviewing a bond for investment purposes. The bond is expected to have a default probability of 2%, with an expected loss of 80 bps in the event of default. If the current risk-free rate is 4%, what is the minimum coupon spread needed on the bond for its expected return to match the risk-free rate?

选项：

A.

90 bps

B.

120 bps

C.

200 bps

D.

280 bps

解释：

The credit risky bond is preferable when:

(1 – PD) × (1 + r + z) + PD × RR > 1 + r

RR = 1 – EL /PD = 0.6

(1 – 2%) × (1 + 4% + z) + 2% × 60% = 1 + 4%

z > 0.00897