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卡布达 · 2021年03月27日

这一题里面说的是2年

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2016082406000024

问题如下：

A two-year zero-coupon bond issued by ABC Co. is currently rated A. The market expects that one year from now the probability that the rating of ABC remains at A, is downgraded to BBB, or is upgraded to AA are, respectively, 80%, 15%, and 5%. Suppose that the risk-free rate is flat at 1% and that credit spreads for AA-, A-, and BBB-rated debt are flat at 80, 150, and 280 basis points, respectively. All rates are compounded annually. What is the best approximation of the expected value of the zero-coupon bond one year from now?

选项：

A.

97.41

B.

97.37

C.

94.89

D.

92.44

解释：

ANSWER: A

After one year, the bond becomes a one-year zero-coupon bond. The respective values are, for AA, A, and BBB, PAA=1001+0.0180=98.23P_{AA}=\frac{100}{1+0.0180}=98.23, 97.56, and 96.34. Note that prices are lower for lower ratings. The expected value is given by P=∑πiPi=5%×98.23+80%×97.56+15%×96.34=97.41P=\sum\pi_iP_i=5\%\times98.23+80\%\times97.56+15\%\times96.34=97.41.

答案里为什么没有折2年现值呀?

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1 个答案

品职答疑小助手雍 · 2021年03月27日

嗨，爱思考的PZer你好：


因为问题问的是one year from now，也就是一年以后的价值是多少，一年以后债券就剩1年到期了。

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