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1111111117 · 2025年01月25日

怎么理解EXCESS RETURN公式

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.

怎么理解这个公式:Excess spread= spread0-(Effective duration x ▲spread)-(pod x lgd)

如果pod、▲spread都是0,那么Spread0就是我们持有一年下来的excess return么


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