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Mangogo · 2019年11月04日

问一道题：NO.PZ2018062016000002

  1. CFA I
  2. Quantitative

问题如下：

Company XYZ issues two identical bonds at the same time. Bond A is rated AAA grade while Bond B is B+ grade. The most likely risk premium between the two bonds is:

选项：

A.

maturity risk premium

B.

inflation rate

C.

default risk premium

解释：

C is correct.

AAA grade and B+ grade is the credit rating of the bonds. A bond with triple A grade is high quality bond, and a bond with B+ grade is high yield bond (or junk bond). Bond A and Bond B are similar except for the credit rating. Therefore, the most likely risk premium in this question is default risk premium.

请问什么maturity risk以及default risk分别是什么？这个知识点在哪里可以学？

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1 个答案

星星_品职助教 · 2019年11月05日

同学你好，

这个知识点是在数量刚开始的时候，第一个reading里面讲利率的构成时候讲到的。平常看到的名义利率可以分解为 real interest +inflation+ risk premium(RP)的形式，这里面RP原版书主要介绍了三个。Maturity risk（由于到期日很久产生的风险），default risk（欠钱不还的风险），liquidity risk（资产没法及时且足额变现的风险）。

这几个概念只要了解即可。例如题目中说两个债券除了到期日其余要素都相同，表示了什么风险？能选出来就行。此外也要知道利率可以这么分解。加油。

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