为什么是信用利差直接减去预期损失率，而不是信用利差✖️（1-预期损失率）

NO.PZ2020011303000019

问题如下：

A bond has a credit spread over the risk-free rate of 1.5%, a default probability per year of 0.6%, and an expected recovery rate of 30%. What is the expected return in excess of the risk-free rate?

选项：

0.42%

0.90%

1.08%

1.50%

解释：

The expected loss rate is 0.6% × (1 − 0.3) = 0.42%. The expected return in excess of the risk-free rate is therefore 1.5% − 0.42% or 1.08%.

一个债券的spread=1.5%，违约概率=0.6%pa，RR=30%，求这个债券的超过rf的回报率是多少？

The expected loss rate =0.6% × (1 − 0.3) = 0.42%.

The expected return in excess of the risk-free rate = 1.5% − 0.42% or 1.08%.

信用利差和预期损失率能直接相减吗

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1 个答案

李坏_品职助教 · 2025年07月04日

嗨，从没放弃的小努力你好：

可以直接相减。

一个债券，按照题目给的条件，违约之后预期的损失比率是0.7，但是违约概率只有0.6%, 所以一个债券违约损失的期望是0.42%.

这个0.42%也可以看做是一种成本，违约带来的成本。所以用债券的spread减掉这个成本，就可以得到expected return in excess of risk free rate.

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NO.PZ2020011303000019问题如下 A bonha cret spreover the risk-free rate of 1.5%, a fault probability per yeof 0.6%, anexpecterecovery rate of 30%. Whis the expectereturn in excess of the risk-free rate? The expecteloss rate is 0.6% × (1 − 0.3) = 0.42%. The expectereturn in excess of the risk-free rate is therefore 1.5% − 0.42% or 1.08%. 一个债券的sprea1.5%，违约概率=0.6%pa，RR=30%，求这个债券的超过rf的回报率是多少？The expecteloss rate =0.6% × (1 − 0.3) = 0.42%. The expectereturn in excess of the risk-free rate = 1.5% − 0.42% or1.08%. 讲义视频里哪块的知识点？

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请问这个是那个考点，为何要减去而不是加上loss rate

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