qyang · 2019年04月26日
* 问题详情，请 查看题干
问题如下图：
选项：
A. 
B. 
C. 
解释：
我看了发亮老师的解释“债券的价格下跌0.0774%，下跌后我们会有一个新的债券价格，反求出来一个新的YTM，这个新的YTM肯定是更大的，因为如你所说，这支债券评级下跌带来的影响更大，所以新的YTM会比期初的YTM更大。
这道题的套路就是从期初的YTM为基础，然后考虑Transition matrix计算债券价格下一年的预期变动幅度，然后算出来投资下一年的预期收益”，
那么通过减低的价格算出的新的YTM变大，而上面又说通过调整后的，预计下一年的收益的YTM会减小，那新的一年的YTM到底是变大还是变小呢？
吴昊_品职助教 · 2019年04月26日
How should the analyst adjust the bond's yield to YTM to assess the expcted return on the bond over the next year？我们为了计算下一年的expected return，我们需要把原先的YTM调整多少。其实我们调整的部分就是价格的变动率。
这道题问的是下一年的预期收益率。如果我们不考虑信用转移矩阵，债券下一年的预期收益率应该是YTM。一旦考虑了矩阵，我们算出来的价格变动是-0.0774%，即债券预期的Capital loss是0.0774%。原先，预期收益率是YTM，在考虑了Matrix之后，下一年的预期收益率就是(YTM - 0.0774%).
expected return=YTM+△P/P。正常投资一年，我们获得就是YTM的收益率。现在信用质量发生改变，债券价格会发生改变。所以expected return要在YTM的基础上调整一个价格的变动率。
NO.PZ201812310200000105问题如下Bonwill have a mofieration of 2.75 the enof the year. Baseon the representative one-yecorporate transition matrix in Exhibit 7 of the reang anassuming no fault, how shoulthe analyst aust the bons yielto maturity (YTM) to assess the expectereturn on the bonover the next year?A 7.7 bps to YTM. Subtra7.7 bps from YTM. Subtra9.0 bps from YTM. B is correct. For eapossible transition, the expectepercentage prichange, computeas the proof the mofieration anthe change in the spreper Exhibit 7 of the reang, is calculateas follows: From to AAA: –2.75 × (0.60% – 0.90%) = +0.83% From to –2.75 × (1.10% – 0.90%) = –0.55% From to BBB: –2.75 × (1.50% – 0.90%) = –1.65% From to B–2.75 × (3.40% – 0.90%) = –6.88% From to –2.75 × (6.50% – 0.90%) = –15.40% From to –2.75 × (9.50% – 0.90%) = –23.65% The expected percentage change in the value of the ratebonis computemultiplying eaexpectepercentage prichange for a possible cret transition its respective transition probability given in Exhibit 7 of the reang, ansumming the procts: (0.0150 × 0.83%) + (0.8800 × 0%) + (0.0950 × –0.55%) + (0.0075 × –1.65%) + (0.0015 × –6.88%) + (0.0005 × –15.40%) + (0.0003 × –23.65%)= –0.0774%. Therefore, the expectereturn on the bonover the next yeis its YTM minus 0.0774%, assuming no fault. 可答案以bona 作为初始sprea 难道ration 对于不同评级的债券都是一样的？
NO.PZ201812310200000105 Subtra7.7 bps from YTM. Subtra9.0 bps from YTM. B is correct. For eapossible transition, the expectepercentage prichange, computethe proof the mofieration anthe change in the spreper Exhibit 7 of the reang, is calculatefollows: From to AA–2.75 × (0.60% – 0.90%) = +0.83% From to –2.75 × (1.10% – 0.90%) = –0.55% From to BB–2.75 × (1.50% – 0.90%) = –1.65% From to B–2.75 × (3.40% – 0.90%) = –6.88% From to –2.75 × (6.50% – 0.90%) = –15.40% From to –2.75 × (9.50% – 0.90%) = –23.65% The expectepercentage change in the value of the ratebonis computemultiplying eaexpectepercentage prichange for a possible cret transition its respective transition probability given in Exhibit 7 of the reang, ansumming the procts: (0.0150 × 0.83%) + (0.8800 × 0%) + (0.0950 × –0.55%) + (0.0075 × –1.65%) + (0.0015 × –6.88%) + (0.0005 × –15.40%) + (0.0003 × –23.65%)= –0.0774%. Therefore, the expectereturn on the bonover the next yeis its YTM minus 0.0774%, assuming no fault. 我理解算出来的答案是expectereturn of prichange，但它和调整YTM有什么关系？我转不过来了…
NO.PZ201812310200000105 Subtra7.7 bps from YTM. Subtra9.0 bps from YTM. B is correct. For eapossible transition, the expectepercentage prichange, computethe proof the mofieration anthe change in the spreper Exhibit 7 of the reang, is calculatefollows: From to AA–2.75 × (0.60% – 0.90%) = +0.83% From to –2.75 × (1.10% – 0.90%) = –0.55% From to BB–2.75 × (1.50% – 0.90%) = –1.65% From to B–2.75 × (3.40% – 0.90%) = –6.88% From to –2.75 × (6.50% – 0.90%) = –15.40% From to –2.75 × (9.50% – 0.90%) = –23.65% The expectepercentage change in the value of the ratebonis computemultiplying eaexpectepercentage prichange for a possible cret transition its respective transition probability given in Exhibit 7 of the reang, ansumming the procts: (0.0150 × 0.83%) + (0.8800 × 0%) + (0.0950 × –0.55%) + (0.0075 × –1.65%) + (0.0015 × –6.88%) + (0.0005 × –15.40%) + (0.0003 × –23.65%)= –0.0774%. Therefore, the expectereturn on the bonover the next yeis its YTM minus 0.0774%, assuming no fault. 0.015 0.095 0.0075……是怎么来的呢
问一道题：NO.PZ201812310200000105
问一道题：NO.PZ201812310200000105
