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Kiki · 2024年04月05日

这种题考试真的会考吗

  1. CFA II
  2. Fixed Income

NO.PZ2019011002000001

问题如下：

Tim is a member of credit research team in a wealth management firm. The team is analyzing a set of bonds with some similar characteristics.

Bond A is a zero-coupon 5-year corporate bond with a par value of $1000. Tim believes that the risk-neutral probability of default (Hazard rate) for each date for the bond is 1.50%, and the recovery rate is 25%. Assume there is no interest rate volatility and the government bond yield curve is flat at 2%.

The market price of the bond A is $850, according to the information above the bond is:

选项：

A.

fairly value

B.

overvalued

C.

undervalued

解释：

C is correct

考点：考察对Credit risk计量，从而计算Fair value。

解析：

本题要按照常规步骤计算债券的Value。

第一步：用无风险利率进行折现，计算债券在每个时间点的价值。本题假设无风险利率没有波动为2%

经过计算Exposure为下图所示。

第二步：计算Recovery；Recovery = exposure × recovery rate，已知本题的Recovery rate为25%，可计算Recovery为下图所示。

第三步：计算Loss given default；

LGD=Exposure – recovery

第四步：计算Probability of default (POD)；由题干已知the risk-neutral probability of default (Hazard rate) for each date for the bond is 1.50%；则第一期的POD为1.5%，随后每一期的POD，等于Hazard rate乘以上一期存活的概率即上一期POS。因此需要知道每一期的POS；每一期POS可知：

(100%-1.5%)1=98.5%

(100%-1.5%)2=97.0225%

(100%-1.5%)3=95.5672%

(100%-1.5%)4=94.1337%

(100%-1.5%)5=92.7217%

第六步：计算Expected loss；有Expected loss = LGD × POD

第七步：计算每一期的折现率，本题假设利率是恒定的2%；

第八步：计算Expected loss的现值，PV expected loss

通过用无风险利率折现该Bond得到的现值为：905.7308

则债券的合理价值为：905.7308 – 49.44 = 856.29

因此当前债券是相对被低估的。

算一遍需要挺多时间的，考试会考这种题吗

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1 个答案

品职答疑小助手雍 · 2024年04月05日

同学你好，不会出这个题目的完整计算，不过会考察这中间涉及的各个知识点和计算。

如果真出到也不会有这么多年的债券，顶多两年的债券就把计算时间拉满了。考试时候注意下策略，难免会有那种耽误时间的题，可以先做好算的，再回过头来解决这种复杂的。

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NO.PZ2019011002000001 问题如下 Tim is a member of cret researtein a wealth management firm. The teis analyzing a set of bon with some similcharacteristics.BonA is a zero-coupon 5-yecorporate bonwith a pvalue of $1000. Tim believes ththe risk-neutrprobability of fault (Hazarrate) for eate for the bonis 1.50%, anthe recovery rate is 25%. Assume there is no interest rate volatility anthe government bonyielcurve is fl2%.The market priof the bonA is $850, accorng to the information above the bonis: A.fairly value B.overvalue C.unrvalue C is correct考点考察对Cret risk计量，从而计算Fair value。解析本题要按照常规步骤计算债券的Value。第一步用无风险利率进行折现，计算债券在每个时间点的价值。本题假设无风险利率没有波动为2%经过计算Exposure为下图所示。第二步计算Recovery；Recovery = exposure × recovery rate，已知本题的Recovery rate为25%，可计算Recovery为下图所示。第三步计算Loss given fault；LGExposure – recovery第四步计算Probability of fault (PO；由题干已知the risk-neutrprobability of fault (Hazarrate) for eate for the bonis 1.50%；则第一期的PO1.5%，随后每一期的PO等于Hazarrate乘以上一期存活的概率即上一期POS。因此需要知道每一期的POS；每一期POS可知(100%-1.5%)1=98.5%(100%-1.5%)2=97.0225%(100%-1.5%)3=95.5672%(100%-1.5%)4=94.1337%(100%-1.5%)5=92.7217%第六步计算Expecteloss；有Expecteloss = LG× PO七步计算每一期的折现率，本题假设利率是恒定的2%；第八步计算Expecteloss的现值，PV expecteloss通过用无风险利率折现该Bon到的现值为905.7308则债券的合理价值为905.7308 – 49.44 = 856.29因此当前债券是相对被低估的。 所以每一年用无风险利率算出来的吗

2024-05-30 16:06 1 · 回答

NO.PZ2019011002000001 问题如下 Tim is a member of cret researtein a wealth management firm. The teis analyzing a set of bon with some similcharacteristics.BonA is a zero-coupon 5-yecorporate bonwith a pvalue of $1000. Tim believes ththe risk-neutrprobability of fault (Hazarrate) for eate for the bonis 1.50%, anthe recovery rate is 25%. Assume there is no interest rate volatility anthe government bonyielcurve is fl2%.The market priof the bonA is $850, accorng to the information above the bonis: A.fairly value B.overvalue C.unrvalue C is correct考点考察对Cret risk计量，从而计算Fair value。解析本题要按照常规步骤计算债券的Value。第一步用无风险利率进行折现，计算债券在每个时间点的价值。本题假设无风险利率没有波动为2%经过计算Exposure为下图所示。第二步计算Recovery；Recovery = exposure × recovery rate，已知本题的Recovery rate为25%，可计算Recovery为下图所示。第三步计算Loss given fault；LGExposure – recovery第四步计算Probability of fault (PO；由题干已知the risk-neutrprobability of fault (Hazarrate) for eate for the bonis 1.50%；则第一期的PO1.5%，随后每一期的PO等于Hazarrate乘以上一期存活的概率即上一期POS。因此需要知道每一期的POS；每一期POS可知(100%-1.5%)1=98.5%(100%-1.5%)2=97.0225%(100%-1.5%)3=95.5672%(100%-1.5%)4=94.1337%(100%-1.5%)5=92.7217%第六步计算Expecteloss；有Expecteloss = LG× PO七步计算每一期的折现率，本题假设利率是恒定的2%；第八步计算Expecteloss的现值，PV expecteloss通过用无风险利率折现该Bon到的现值为905.7308则债券的合理价值为905.7308 – 49.44 = 856.29因此当前债券是相对被低估的。 t1的为什么是1/1.02的一次放？这时候距离到期t=5还有四段时间，不应该是1/1.02^4吗？

2023-11-09 21:59 1 · 回答

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2023-10-12 20:23 1 · 回答

NO.PZ2019011002000001 这样做的答案是一样的 请教老师CVA类型的题目什么时候能这样做 什么时候不能呢？

2022-02-01 23:09 3 · 回答