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cika · 2024年01月14日

如题

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000017

问题如下：

An active manager is considering the senior bonds of one of several corporate issuers. Holding other factors constant, which of the following key financial ratio changes would lead the manager to expect a decrease in the POD for that issuer?

选项：

A.

An increase in the issuer’s coverage ratio

B.

An increase in the issuer’s stock price volatility

C.

An increase in the issuer’s leverage ratio

解释：

A is correct. The coverage ratio measures cash flow available to service debt, with a higher ratio indicating a lower probability of financial distress.

老师，coverage ratio 影响的是LGD吧，不影响POD

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2 个答案

pzqa31 · 2024年01月16日

嗨，努力学习的PZer你好：


POD=1-RR,这里的RR是revcovery rate，指回收率，题目里说的coverage ratio是利息覆盖率，是个财务指标。

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努力的时光都是限量版，加油！

pzqa31 · 2024年01月15日

嗨，努力学习的PZer你好：


不是，影响的还是POD，利息保障倍数一般可以包括EBIT，或者现金流利息保障倍数等，代表企业未来利润或者现金流可以覆盖利息的倍数，也就是代表企业的偿债能力，这个倍数越高代表企业偿债能力越高，越不可能违约。而LGD是代表一旦违约能收回多少损失，和利息保障倍数没有关系。

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加油吧，让我们一起遇见更好的自己！

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