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五谷丰登 · 2020年03月23日

问一道题:NO.PZ201812310200000306

* 问题详情,请 查看题干

问题如下:

Based on Exhibit 3, if Bond IV’s credit rating changes during the next year to an A rating, its expected price change would be closest to:

选项:

A.

–8.00%.

B.

–7.35%.

C.

–3.15%.

解释:

C is correct. The expected percentage price change is the product of the negative of the modified duration and the difference between the credit spread in the new rating and the old rating:
Expected percentage price change = –4.2 × (0.0175 – 0.01) = –0.0315, or –3.15%.

老师好,这个矩阵是什么含义,没有看明白,可以解释下吗?

1 个答案

WallE_品职答疑助手 · 2020年03月25日

上面三行是评级变动的概率,最下面一行是对应评级的spread.

现在已经确定从AA变为A了 所以Expected percentage price change = –4.2 × (0.0175 – 0.01) = –0.0315