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鹏鹏 · 2024年01月18日

老师 能解释下这道题吗

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200001903

问题如下：

Which bond rating category offers the highest expected excess return if spreads instantaneously rise 10% across all ratings categories?

选项：

A.

A rated bond category

B.

BBB rated bond category

C.

BB rated bond category

解释：

A is correct. If spreads rise 10% across all ratings categories, we can use

E[ExcessSpread] ≈ Spread0 –(EffSpreadDur × ΔSpread) – (POD × LGD) to solve

for expected excess spread as follows:


老师 能解释下这道题吗

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1 个答案

pzqa31 · 2024年01月19日

嗨，努力学习的PZer你好：


这道题就是一个单纯的计算哈，直接代公式算就可以了：

EXR of A:0-0.1%*7-0.1%=-0.8%

EXR of BBB:0-0.175%*6-0.75%=-1.8%

EXR of BB:0-0.275%*5-2.5%=-3.88%


因为都是负数，选一个负的最少的，选A。

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