NO.PZ202112010200001903
问题如下：
An investor is faced with an active portfolio decision
across three bond rating categories based on the following current market
information:
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
BBB rated bond category
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:
老师好，想问个细节。
在这个问答中【https://class.pzacademy.com/qa/149512 】，EXR公式最后一项是【+( LGD*PD)】吗？是不是写错了？
