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玖貳柒 · 2021年03月02日

答案最后一段乘以概率是怎么来的

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NO.PZ201812310200000105

问题如下:

Bond B3 will have a modified duration of 2.75 at the end of the year. Based on the representative one-year corporate transition matrix in Exhibit 7 of the reading and assuming no default, how should the analyst adjust the bond’s yield to maturity (YTM) to assess the expected return on the bond over the next year?

选项:

A.

Add 7.7 bps to YTM.

B.

Subtract 7.7 bps from YTM.

C.

Subtract 9.0 bps from YTM.

解释:

B is correct. For each possible transition, the expected percentage price change, computed as the product of the modified duration and the change in the spread as per Exhibit 7 of the reading, is calculated as follows:

From AA to AAA: –2.75 × (0.60% – 0.90%) = +0.83%

From AA to A: –2.75 × (1.10% – 0.90%) = –0.55%

From AA to BBB: –2.75 × (1.50% – 0.90%) = –1.65%

From AA to BB: –2.75 × (3.40% – 0.90%) = –6.88%

From AA to B: –2.75 × (6.50% – 0.90%) = –15.40%

From AA to C: –2.75 × (9.50% – 0.90%) = –23.65%

The expected percentage change in the value of the AA rated bond is computed by multiplying each expected percentage price change for a possible credit transition by its respective transition probability given in Exhibit 7 of the reading, and summing the products:

(0.0150 × 0.83%) + (0.8800 × 0%) + (0.0950 × –0.55%) + (0.0075 × –1.65%) + (0.0015 × –6.88%) + (0.0005 × –15.40%) + (0.0003 × –23.65%)= –0.0774%.

Therefore, the expected return on the bond over the next year is its YTM minus 0.0774%, assuming no default.

0.015 0.095 0.0075……是怎么来的呢

2 个答案

WallE_品职答疑助手 · 2021年03月03日

同学您好,


我不明白同学您要表达的是什么意思?

这表里面第二排 AA的那一排,1.5 88 9.5 0.75不都是给您的已知条件吗?表格里面都说了这些数字是以百分比(entires in %)除以100不就是您说的数字吗?

WallE_品职答疑助手 · 2021年03月02日

同学您好,


这些都是信用矩阵图里面的概率,比如0.015是AA级别到AAA级别的概率 0.095是AA 到A的概率,您就看矩阵表第三排就好了。

玖貳柒 · 2021年03月02日

对我知道时变动的概率,但具体数字没有呀,可以标出来一下吗谢谢

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NO.PZ201812310200000105问题如下Bonwill have a mofieration of 2.75 the enof the year. Baseon the representative one-yecorporate transition matrix in Exhibit 7 of the reang anassuming no fault, how shoulthe analyst aust the bons yielto maturity (YTM) to assess the expectereturn on the bonover the next year?A 7.7 bps to YTM. Subtra7.7 bps from YTM. Subtra9.0 bps from YTM. B is correct. For eapossible transition, the expectepercentage prichange, computeas the proof the mofieration anthe change in the spreper Exhibit 7 of the reang, is calculateas follows: From to AAA: –2.75 × (0.60% – 0.90%) = +0.83% From to –2.75 × (1.10% – 0.90%) = –0.55% From to BBB: –2.75 × (1.50% – 0.90%) = –1.65% From to B–2.75 × (3.40% – 0.90%) = –6.88% From to –2.75 × (6.50% – 0.90%) = –15.40% From to –2.75 × (9.50% – 0.90%) = –23.65% The expected percentage change in the value of the ratebonis computemultiplying eaexpectepercentage prichange for a possible cret transition its respective transition probability given in Exhibit 7 of the reang, ansumming the procts: (0.0150 × 0.83%) + (0.8800 × 0%) + (0.0950 × –0.55%) + (0.0075 × –1.65%) + (0.0015 × –6.88%) + (0.0005 × –15.40%) + (0.0003 × –23.65%)= –0.0774%. Therefore, the expectereturn on the bonover the next yeis its YTM minus 0.0774%, assuming no fault. 可答案以bona 作为初始sprea 难道ration 对于不同评级的债券都是一样的?

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