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春夏秋冬眠🖤 · 2021年04月02日

No.PZ2015121810000036 (选择题)

  1. CFA II
  2. Portfolio

NO.PZ2015121810000036

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.

讲课的时候不是说短期的债券认为没有inflation rate uncertainty的风险吗？为什么这题还要把不确定通胀率的风险减了

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1 个答案

星星_品职助教 · 2021年04月02日

同学你好，

这道题的题干中已经明确说明了有uncertainty的存在：“ the premium required by investors for inflation uncertainty is 0.25%”。

在有明确说明的前提下，考虑risk premium必须要把这一项考虑进去，不能忽略。



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NO.PZ2015121810000036 问题如下 A corporate bonha remaining maturity of 1 year, ha favalue of EUR100, anis currently priceEUR90.90. The rerisk-free rate is3.25%. Inflation is expecteto 2.0% next year, anthe premium requireinvestors for inflation uncertainty is 0.25%. The impliecret risk premium embeein the bons priis best scribeas: A.equto (100/90.90) – 1 = 10%. B.10% recethe rerisk-free rate anexpecteinflation. C.10% recethe rerisk-free rate, expecteinflation, anthe premium for inflation uncertainty. C is correct.The impliecret risk premium embeein the bons priis the yiel(10%) less the fault risk-free nomininterest rate, whiinclus a premium for inflation uncertainty. See Example 15. The cret risk premium ccalculate4.51% 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\%lϒt,si​=90.90100​−(1+0.0325+0.02+0.0025)ϒt,si​=4.51%考点cret 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, rerisk-free rate, Inflation rate, inflation uncertainty, 由于公司债有cret risk，所以将已知数代入公式，即可求出cret risk premium. 老师，1）这道题考的是什么？价格的影响因素么？ 2）B和C10%怎么计算的？您帮我整体讲一下这道题

2023-09-05 11:48 1 · 回答

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2023-05-06 18:24 1 · 回答

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