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dilly24 · 2024年07月01日

请问这道题B为什么错了啊？

  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.

如题

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1 个答案

发亮_品职助教 · 2024年07月01日

这道题考的是这个公式：

Credit spread ≈ PD × LGD，其中LGD = 1- recovery rate


于是Credit spread ≈ PD × (1- recovery rate)


题干说recovery rate上升，问影响如何。则可以判断，在PD不变的情况下，RR上升Credit spread是下降的，本题选C。


如果题干改一下，改成在Credit spread不变的背景下，如果recovery rate上升，则PD如何改变。在这样的背景下，Recovery rate上升，则（1-recovery rate）下降，为了维持住credit spread不变，那么PD必须要上升。


但本题只是说recovery rate上升，没有提其他条件，那就默认是问RR上升对Credit spread的影响，于是可以判断是credit spread下降。

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