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
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:
instantaneously 的变化计算时候还加 spread0？你再好好看看答案计算过程，服了
