题目不明白，解析没看懂

* 问题详情，请查看题干

NO.PZ202112010200001902

问题如下：

Which active bond portfolio maximizes expected excess return under a stable credit market assumption versus an equally weighted benchmark portfolio across the three rating categories?

选项：

50% A rated bonds, 50% BBB rated bonds

50% BBB rated bonds, 50% BB rated bonds

50% A rated bonds, 50% B rated bonds

解释：

A is correct. E[ExcessSpread] from Question 15 is 0.90%, 1.00%, and 0.25% for the A-, BBB-, and B rated categories, respectively.

The excess spread of the 50% A rated and 50% BBB rated portfolio is 0.95% (=(0.9% + 1.00%/2) versus the equally weighted portfolio expected excess return of 0.7167% (=(0.90% + 1.00% + 0.25%)/3) for a positive active return of 0.233%, while B and C return less than the equally weighted benchmark.

不明白

添加评论

1 个答案

pzqa015 · 2023年11月26日

嗨，爱思考的PZer你好：

这道题考察EXR计算的知识点。

题目说，一个投资者可以选择active投资于表格中的三种债券，然后题目问，在stable credit market assumption下，相比于equally weighted投资于三种债券，A、B、C选项中哪种组合配比方式可以最大化EXR，换句话说，这道题就是从A、B、C中选择最大的EXR

EXR=OAS-△spread*SD-POD*LGD

这里说的是stable credit market assumption，也就是与初始状态相比，市场信用风险不变，那么EXR公式中的第二项的△spread为0，第一项OAS与第三项EL都是期初的数据，所以，评级A的EXR应该是1%-0.1%=0.9%，评级BBB的EXR是1.75%-0.75%=1%,评级BB的EXR是2.75%-2.5%=0.25%。

选项A的EXR：(0.9%+1%)/2=0.95%

选项B的EXR：（1%+0.25%）/2=0.625%

选项C的EXR：（0.9%+0.25%）/2=0.575%

故选择A。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

添加评论

1
回答
0
关注
233
浏览

我要回答关注问题

相关问题

NO.PZ202112010200001902问题如下 Whiactive bonportfolio maximizes expecteexcess return unra stable cret market assumption versus equally weightebenchmarkportfolio across the three rating categories? A.50% A ratebon, 50% Bratebon B.50% Bratebon, 50% ratebon C.50% A ratebon, 50% B ratebon A is correct. E[ExcessSprea from Question 15 is0.90%, 1.00%, an0.25% for the A-, BBB-, anB ratecategories, respectively.The excess spreof the 50% A ratean50% Brateportfolio is0.95% (=(0.9% + 1.00%/2) versus the equallyweighteportfolio expecteexcess return of 0.7167% (=(0.90% + 1.00% + 0.25%)/3) for a positive active return of 0.233%, while BanC return less ththe equally weighteenchmark. 对题目里stable cret market 的理解是，在基础课cret sprecurve stategies 里第一种static情形，PO=0，所以EXR=OAS，请老师对我这样理解解惑，谢谢。

2022-03-15 23:10 1 · 回答