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

返回

学习王 · 2024年05月20日

不理解

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000012

问题如下：

Which of the following outcomes is most likely if the junior analyst revises the bond’s original recovery rate higher?

选项：

A.

An increase in the bond’s POD

B.

A decrease in the bond’s POD

C.

A decrease in the bond’s credit spread

解释：

C is correct. An increase in a bond’s recovery rate will lower the loss severity, or LGD, because LGD = (1 – RR).

Recall the simple one-period relationship between credit spreads, LGD, and the POD as Spread ≈ LGD × POD. A lower LGD will result in a lower spread.

spread不是在市场上观察到的吗

通过spread和LGD求POD

这题怎么顺序是已知LGD和POD求spread》？？？？

添加评论
1 个答案

pzqa31 · 2024年05月20日

嗨，努力学习的PZer你好：


你可以理解为这个是在事前预测一下未来的信用利差，这里的POD和LGD也是估计的。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 158

    浏览
相关问题

NO.PZ2021120102000012 问题如下 Whiof the followingoutcomes is most likely if the junior analyst revises the bons originalrecovery rate higher? A.Anincrease in the bons PO B.A crease in the bons PO C.A crease in the bons cret spre Cis correct. increase in a bons recovery rate will lower the loss severity, or LG because LG= (1 – RR). Recallthe simple one-periorelationship betweencret sprea, LG anthe POSpre≈ LG× PO A lower LGwill result in a lower sprea 如题

2024-07-01 04:27 1 · 回答

NO.PZ2021120102000012 问题如下 Whiof the followingoutcomes is most likely if the junior analyst revises the bons originalrecovery rate higher? A.Anincrease in the bons PO B.A crease in the bons PO C.A crease in the bons cret spre Cis correct. increase in a bons recovery rate will lower the loss severity, or LG because LG= (1 – RR). Recallthe simple one-periorelationship betweencret sprea, LG anthe POSpre≈ LG× PO A lower LGwill result in a lower sprea 根据公式来看，RR变大，LG小，PO大，所以应该选A？

2023-12-10 11:11 3 · 回答

NO.PZ2021120102000012 问题如下 Whiof the followingoutcomes is most likely if the junior analyst revises the bons originalrecovery rate higher? A.Anincrease in the bons PO B.A crease in the bons PO C.A crease in the bons cret spre Cis correct. increase in a bons recovery rate will lower the loss severity, or LG because LG= (1 – RR). Recallthe simple one-periorelationship betweencret sprea, LG anthe POSpre≈ LG× PO A lower LGwill result in a lower sprea RR低了，sprea高了，C不是反了吗

2022-10-07 23:50 1 · 回答

NO.PZ2021120102000012 L变小根据公式PO变大，为啥不选A呢？

2022-02-25 12:20 2 · 回答