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
A decrease in the bond’s POD
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