为什么假设no default risk还减expect loss，谢谢

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NO.PZ202112010200003101

问题如下：

What is the approximate unhedged excess return to the United States–based credit manager for an international credit portfolio index equally weighted across the four portfolio choices, assuming no change to spread duration and no changes to the expected loss occur?

选项：

–0.257%

–0.850%

0.750%

解释：

A is correct. We solve for the excess spread by subtracting Expected Loss from

the respective OAS:

Recall that the United States–based investor must convert the euro return to US dollars using RDC = (1 + RFC) (1 + RFX) – 1, so the USD IG and USD HY positions comprising half the portfolio return an average 0.80%, while the EUR IG and EUR HY positions return –1.314% in US dollar terms (= ((1 + ((0.65% + 0.75%)/2)) × 0.98) – 1), so –0.257% = ((0.80% – 1.314%)/2).

为什么假设no default risk还减expect loss，谢谢

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1 个答案

发亮_品职助教 · 2025年03月06日

题干这句：no changes to the expected loss occur

这个不是no default risk的假设哈！

这句是说，表格里面的expected loss这项数据没有发生改变（no changes occur）。所以计算的时候可以直接用表格里面的expected loss数据。

这道题的题干说的有点多余。因为以前是个错题，现在改成这个形式了。改后有点拗口。如果题目说no default risk，那就不减expected loss哈！

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