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tammie · 2020年01月15日

问一道题：NO.PZ2015121810000036

  1. CFA II
  2. Portfolio

问题如下：

A corporate bond has a remaining maturity of 1 year, has a face value of EUR100, and is currently priced at EUR90.90. The real risk-free rate is

3.25%. Inflation is expected to be 2.0% next year, and the premium required by investors for inflation uncertainty is 0.25%. The implied credit risk premium embedded in the bond’s price is best described as:

选项：

A.

equal to (100/90.90) – 1 = 10%.

B.

10% reduced by the real risk-free rate and expected inflation.

C.

10% reduced by the real risk-free rate, expected inflation, and the premium for inflation uncertainty.

解释：

C is correct.

The implied credit risk premium embedded in the bond’s price is the yield (10%) less the default risk-free nominal interest rate, which includes a premium for inflation uncertainty. See Example 15. The credit risk premium can be calculated as 4.51% in this case:

lϒt,si=10090.90−(1+0.0325+0.02+0.0025)ϒt,si=4.51%{l}ϒ_{t,s}^i=\frac{100}{90.90}-(1+0.0325+0.02+0.0025)\\ϒ_{t,s}^i=4.51\%

考点：credit risk premium

解析：未来现金流折现求和计算债券价格。已知债券价格, real risk-free rate, Inflation rate, inflation uncertainty, 由于公司债有credit risk，所以将已知数代入公式，即可求出credit risk premium.

题干中的”The implied credit risk premium embedded in the bond’s price“求出来是4.5%，但是题目其实问的不是 应该 4.5%除以剩下的其他risk premium 之和 5.5%么？

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1 个答案

星星_品职助教 · 2020年01月15日

同学你好，

我没太看懂这个问题，题干要求的是credit risk premium，求出来是4.5%，这个4.5%是根据债券的face value和current price求出来的10%再减去（3.205%+2%+0.25%）所得到的，所以就是C选项，不需要再除以别的了。

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