开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

小米米兔 · 2024年01月19日

不是问total risk premium吗?

NO.PZ2022122601000020

问题如下:

Perumal then shifts his attention to forecasting US bond return expectations and begins estimating the risk premia for five-year US intermediate-term bonds using the data in Exhibit 2.


Perumal’s estimation of the total risk premium for the five-year US government bonds is closest to:

选项:

A.75 bps B.295 bps C.375 bps

解释:

The risk premium for the five-year US government bond is equal to the term premium (five-year vs. one-year US government bond) of 75 bps.

Credit premium and liquidity premium are extraneous information and do not apply.

Expected return = Risk-free rate + Risk premium = 220 + 75 bps = 295 bps, but the question asks about the risk premium only, not the expected return.

中文解析:

五年期美国政府债券的风险溢价等于期限溢价(五年期与一年期)75个基点。

信用溢价和流动性溢价是无关信息,不适用。

预期收益=无风险利率+风险溢价= 220 + 75 bps = 295 bps,但问题只问风险溢价,而不是预期收益。

如题,为什么还要加上risk free rate? 不是直接算risk premium吗

1 个答案

源_品职助教 · 2024年01月19日

嗨,爱思考的PZer你好:


同学的理解是对的。

解析里写了求预期收益的步骤,不过,解析最后一句说的是“但问题只问风险溢价,而不是预期收益。”

而且,本题给的答案也是A,就是风险溢价

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 151

    浏览
相关问题

NO.PZ2022122601000020问题如下 Perumthen shifts his attention to forecasting US bonreturnexpectations anbegins estimating the risk premia for five-yeUSintermeate-term bon using the ta in Exhibit 2.Perumal’sestimation of the totrisk premium for the five-yeUS government bon is closestto: A.75bpsB.295bpsC.375bps The risk premiumfor the five-yeUS government bonis equto the term premium (five-yearvs. one-yeUS government bon of 75 bps.Cret premium aniquity premium are extraneous information an not apply.Expectereturn =Risk-free rate + Risk premium = 220 + 75 bps = 295 bps, but the question asksabout the risk premium only, not the expectereturn. 中文解析五年期美国政府债券的风险溢价等于期限溢价(五年期与一年期)75个基点。信用溢价和流动性溢价是无关信息,不适用。预期收益=无风险利率+风险溢价= 220 + 75 bps = 295 bps,但问题只问风险溢价,而不是预期收益。 为什么不是把所有premium都加上呢?cret risk 不是风险premium吗

2024-01-26 00:14 2 · 回答

NO.PZ2022122601000020问题如下 Perumthen shifts his attention to forecasting US bonreturnexpectations anbegins estimating the risk premia for five-yeUSintermeate-term bon using the ta in Exhibit 2.Perumal’sestimation of the totrisk premium for the five-yeUS government bon is closestto: A.75bpsB.295bpsC.375bps The risk premiumfor the five-yeUS government bonis equto the term premium (five-yearvs. one-yeUS government bon of 75 bps.Cret premium aniquity premium are extraneous information an not apply.Expectereturn =Risk-free rate + Risk premium = 220 + 75 bps = 295 bps, but the question asksabout the risk premium only, not the expectereturn. 中文解析五年期美国政府债券的风险溢价等于期限溢价(五年期与一年期)75个基点。信用溢价和流动性溢价是无关信息,不适用。预期收益=无风险利率+风险溢价= 220 + 75 bps = 295 bps,但问题只问风险溢价,而不是预期收益。 请问这个totrisk premium里不应该有inflation risk吗?

2024-01-10 12:39 1 · 回答