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sarah_xu · 2020年01月31日

问一道题:NO.PZ201812310200000101 第1小题 [ CFA II ]

* 问题详情,请 查看题干

请问这个折现因子为啥不是用表格提供的spot rate求?

问题如下图:

选项:

A.

B.

C.

解释:

2 个答案
已采纳答案

吴昊_品职助教 · 2020年02月04日

嗨,努力学习的PZer你好:


计算VND,就是计算假设no default情况下的债券价格,用的是国债的无风险利率来折现,题干中有government bond yield curve is flat at 3%,所以Rf=3%,就用3%来折现即可。利率是3%,第一年折现的话是CF1/(1+3%);用折现因子的话,第一年的折现因子DF就是: 1/(1+3%)=0.9709,所以第一年现金流折现就是:CF1×0.9709。第二年折现的话就是CF2/(1+3%)^2;用折现因子的话,第二年的折现因子DF就是:1/(1+3%)^2=0.9426,所以第二年现金流折现就是CF2×0.9426。


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sarah_xu · 2020年02月04日

老师,不好使,我点赞点错了,骚瑞…… 另外,我想问下,有的题目我感觉是用国债无风险利率折现,有的时候也会用spot rate折现,这怎么区分呢

吴昊_品职助教 · 2020年02月04日

求VND一定是用无风险利率折现的,或者是国债的spot rate,因为我们求的是value assuming no default。

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NO.PZ201812310200000101 问题如下 The market priof bonis€875. The bonis: fairly value overvalue unrvalue B is correct. The following table shows ththe cret valuation austment (CVfor the bonis €36.49, the sum of the present values of expecteloss. The steps taken to complete the table are follows. Step 1: Exposure te T is 1000 (1+r) 4−T , where r is 3%. This, exposure is computescounting the favalue of the bonusing the risk-free rate anthe number of years until maturity. Step 2: Recovery = Exposure × Recovery rate Step 3: Loss given fault (LG = Exposure – Recovery Step 4: Probability of fault (PO on te 1 is 1.50%, the assumehazarrate. The probability of surviv(POS) on te 1 is 98.50%. For subsequent tes, POis calculatethe hazarrate multipliethe previous te’s POS. For example, to termine the te 2 PO(1.4775%), the hazarrate of (1.50%) is multipliethe te 1 POS (98.50%). Step 5: POS in tes 2–4 = POS in the previous ye– POD (This, POS in YeT= POS in ye[ T– 1] – POin YeT.) POS calso be terminesubtracting the hazarrate from 100% anraising it to the power of the number of years: (100% – 1.5000%)1 = 98.5000% (100% – 1.5000%)2 = 97.0225% (100% – 1.5000%)3 = 95.5672% (100% – 1.5000%)4 = 94.1337% Step 6: Expecteloss = LG× POD Step 7: scount factor () for te T is 1 (1+r) T , where r is 3%. Step 8: PV of expecteloss = Expecteloss × Value of the bonif the bonwere fault free woul1,000 × for te 4 = €888.49. Fair value of the bonconsiring CVA = €888.49 – CVA = €888.49 – €36.49 = €852.00. Because the market priof the bon(€875) is greater ththe fair value of €852, B is correct. A is incorrect because the market priof the bonffers from its fair value. C is incorrebecause although the bons value if the bonwere fault free is greater ththe market price, the bond ha risk of fault, anCVA lowers its fair value to below the market price. RT

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