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陳泰傑 · 2020年08月12日

问一道题：NO.PZ2015121810000036 [ CFA II ]

  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.

请问 C选项是不是不全。选项中并没有说包含credit risk premium. inflation 预期不准应该不能包含在credit risk premium 吧

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丹丹_品职答疑助手 · 2020年08月13日

嗨，努力学习的PZer你好：


同学你好，根据定义：Te difference between the yield on a corporate bond and that on a government bond  with the same currency denomination and maturity is generally referred to as the
credit spread.

所以是包含的哈
 

 


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