NO.PZ201812310200000306
问题如下：
Based on Exhibit 3, if Bond IV’s credit rating changes during the next year to an A rating, its expected price change would be closest to:
选项：
A.–8.00%.
–7.35%.
–3.15%.
解释：
C is correct. The expected percentage price change is the product of the negative of the modified duration and the difference between the credit spread in the new rating and the old rating:
Expected percentage price change = –4.2 × (0.0175 – 0.01) = –0.0315, or –3.15%.
老师好，
这道题之所以不乘以8%是不是因为它题目就是说的是从AA变到A，所以已经是一个条件了，不是一个可能的概率，所以不需要再乘以8%.
可以这样理解吗？谢谢老师
