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Jenny · 2021年04月12日

题目最后问的是first 6-month和一年期的比较

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2016082406000034

问题如下：

Suppose XYZ Corp. has two bonds paying semiannually according to the following table:

The recovery rate for each in the event of default is 50%. For simplicity, assume that each bond will default only at the end of a coupon period. The market-implied risk-neutral probability of default for XYZ Corp. is

选项：

A.

Greater in the first six-month period than in the second

B.

Equal between the two coupon periods

C.

Greater in the second six-month period than in the first

D.

Cannot be determined from the information provided

解释：

ANSWER: A

First, we compute the current yield on the six-month bond, which is selling at a discount. We solve for y* such that 99=1041+y∗20099\text{=}\frac{104}{1+\frac{y\ast}{200}} and find y∗=10.10%y\ast\text{=}10.10\%. Thus the yield spread for the first bond is 10.1-5.5=4.6%10.1\text{-}5.5\text{=}4.6\%. The second bond is at par, so the yield is y∗=9%y\ast\text{=}9\%. The spread for the second bond is   9-6=3%\;9\text{-}6\text{=}3\%. The default rate for the first period must be greater. The recovery rate is the same for the two periods, so it does not matter for this problem.

我们求出来的是second  or remaining 6-month，这个和first 6-month有什么关系啊？
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1 个答案

品职答疑小助手雍 · 2021年04月13日

嗨，从没放弃的小努力你好：


算出来的第一个bond的spread4.6%是前六个月的，后面bond一年的spread是3%（一年的平均情况）。

题目又说recovery 前后一样。

那显然就是前六个月的PD高，后六个月PD低了。

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