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NO.PZ2020033002000032

问题如下：

An investment manager who specializes in credit-linked bonds is trying to find the credit-linked yield spread on a one-year BB-rated coupon issued by a multinational company. With the current market risk-free rate of 2% per annum and a default rate of 8% for BB-rated bonds and a default loss rate of 70%, a reasonable yield to maturity for this bond is

选项：

4.51%

6.00%

7.50%

8.05%

解释：

D is correct.

考点：Infer Credit Risk from Corporate Bond Prices

解析：

假设收益率为y，则有公式

$\frac1{1+y}=\frac{1\ast(1-\mathrm\pi)}{1+r_f}+\frac{\mathrm f\ast\mathrm\pi}{1+r_f}$

代入数字，有

1/（1+y）=（1-8%）/（1+2%）+（1-70%）*8%/（1+2%）

得到 y=8.05%

请问为什么不能用YTM-RF约等于派乘以1-RR那个公式来算呢，什么时候用约等的公式，什么时候不用呢

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品职答疑小助手雍 · 2021年08月10日

一般能不用约等还是不要用的，条件都给全了，就用完整的式子算就好了。

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