mino酱是个小破货 · 2024年07月09日
* 问题详情，请 查看题干
NO.PZ202112010200001903
问题如下：
Which bond rating category offers the highest expected excess return if spreads 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:
看到助教解释-t*LGD*POD，请论证，谢谢
发亮_品职助教 · 2024年07月10日
这道题以前的答疑不再适用了，以前题目有歧义，现在题目条件改正了。
以前的题干条件是：if spreads instantaneously rise 10% across all ratings，有instantaneously出现，有考生会觉得是在表示t=0，所以spread0×0，以及PD×LGD要乘以t=0。但从原题的角度看，题干并不是想表示t=0，而只是想强调利率的改变是一次性完成的，并不是在期间里逐步完成。这点很重要，因为对应使用的Duration不同。所以题干才强调instananeously。
但现在题目把instantaneously去掉了，改成了if spreads rise 10% across all ratings categories. 现在题目没有这个疑惑了哈，直接当成在期末时刻利率上升10%。剩下的就正常按照公式算即可。没说是半年，那t默认等于1来计算。
NO.PZ202112010200001903 问题如下 Whibonrating category offers the highest expecteexcess returnif sprea rise 10% across all ratings categories? A.A rateboncategory B.Brateboncategory C.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: 请问current rate为何是0？以及答案中excess sprea什么？怎么计算出来的？
NO.PZ202112010200001903问题如下 investor is facewith active portfolio cisionacross three bonrating categories baseon the following current marketinformation: Whibonrating category offers the highest expecteexcess returnif sprea instantaneously rise 10% across all ratings categories? A.A rateboncategoryB.BrateboncategoryC.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: instantaneously 的变化计算时候还加 sprea？你再好好看看答案计算过程，服了
NO.PZ202112010200001903 问题如下 investor is facewith active portfolio cisionacross three bonrating categories baseon the following current marketinformation: Whibonrating category offers the highest expecteexcess returnif sprea instantaneously rise 10% across all ratings categories? A.A rateboncategory B.Brateboncategory C.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: 老师好，想问个细节。在这个问答中【https://class.pzacamy.com/qa/149512 】，EXR公式最后一项是【+( LGP】吗？是不是写错了？
NO.PZ202112010200001903 问题如下 Whibonrating category offers the highest expecteexcess returnif sprea instantaneously rise 10% across all ratings categories? A.A rateboncategory B.Brateboncategory C.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: 如题
