luna · 2020年10月12日

问一道题：NO.PZ2016082406000032 [ FRM II ]

1. FRM II
2. Credit Risk Measurement And Management

问题如下：

A risk analyst seeks to find out the credit-linked yield spread on a BB-rated one-year coupon bond issued by a multinational petroleum company. If the prevailing annual risk-free rate is 3%, the default rate for BB-rated bonds is 7%, and the loss given default is 60%, then the yield to maturity of the bond is

选项：

A.

2.57%

B.

5.90%

C.

7.45%

D.

7.52%

解释：

ANSWER: D

From Equation:$1+y={(1+y^\ast)}{\lbrack1-\pi{(1-f)}\rbrack}$. This gives$1+y^\ast=\frac{1+y}{1-\pi\times\text{LGD}}=$ $\frac{1.03}{1-0.07\times60{\%}}\text{=}1.0752$=1.0752 , or $y^\ast\text{=}7.52{\%}$.

您好，我算也是之前提问同学的5.97？可以完整按讲义计算一遍吗？答案没看懂