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纯圆圆 · 2024年01月26日

total risk premium 是在讲义哪里？

  1. CFA III
  2. Capital Market Expectations

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。

为什么不是把所有premium都加上呢？credit risk 不是风险premium吗

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源_品职助教 · 2024年01月26日

嗨，努力学习的PZer你好：


credit risk是风险，但是题目问的是，five-year US government bonds，而非公司债

这种债券有政府信用担保，所以不存在credit risk，所以不需要加。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

纯圆圆 · 2024年01月28日

谢谢。重新审题 发现自己瞎了

源_品职助教 · 2024年01月29日

嗨，爱思考的PZer你好：


不客气哈，搞懂就好，预祝考试顺利~

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努力的时光都是限量版，加油！

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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