NO.PZ201812310200000302
问题如下：
Based on Exhibit 1, the loss given default for Bond II is:
选项：
A.less than that for Bond I.
the same as that for Bond I.
greater than that for Bond I.
解释：
C is correct. The loss given default is a positive function of the expected exposure to default loss and a negative function of the recovery rate. Because Bond II has a lower recovery rate than Bond I and the same expected exposure to default loss (100 + 5 = 105), it will have a higher loss given default than Bond I will have. The loss given default for Bond I is 105 × (1 – 0.40) = 63.00. The loss given default for Bond II is 105 × (1 – 0.35) = 68.25.
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