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\text{=}\frac{104}{1+\frac{y\ast}{200}}
99=1+200
y∗
104
and find y\ast\text{=}10.10\%
y∗=10.10%. Thus the yield spread for the first bond is 10.1\text{-}5.5\text{=}4.6\%
10.1-5.5=4.6%. The second bond is at par, so the yield is y\ast\text{=}9\%
y∗=9%. The spread for the second bond is \;9\text{-}6\text{=}3\%
9-6=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.
老师，想问下，这个题能用 risk-neutral pd的公式来求吗？
P0=[PD*f*face value +(1-PD)*face value]/(1+Rf)
感觉应该是不能用这个公式求pd，但是又不知道为什么不能用
