wawjbng · 2021年10月28日
问题如下：
One-year BBB-rated bonds have a spread of 2.5% over risk-free Treasuries of the same maturity. It is estimated that all non-credit factors (e.g. liquidity risk, taxes, etc.) have a 1% spread. What is the implied probability of default for this bond, assuming a loss given default rate of 60%?
选项：
A. 1.50%
B. 2.00%
C. 2.50%
D. 3.75%
解释：
C is correct.
考点：Infer Credit Risk from Corporate Bond Prices.
解析：
预期违约的利差为2.5%-1%=1.5%
1.5%/60%=2.5%
请问这题为什么要减掉1%呢，什么时候该减什么时候不该减呢
李坏_品职助教 · 2021年10月28日
嗨，努力学习的PZer你好：
2.5%是bond相对于完全无风险的国债的利差，也就是2.5% = non-credit factors + credit factors。
1%是non-credit factors。
我们用2.5%-1%就可以得到credit factors导致的利差是1.5%。credit factors也就是所谓的信用利差，是由发债人的信用状况导致的利差。求违约率的时候一定要扣掉这个1%的non-credit factors。
----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
冰霄 · 2021年11月10日
最后是依据哪个公式呢 在讲义中一点印象都没有
NO.PZ2020033002000031 问题如下 One-yeBBB-ratebon have a spreof 2.5% over risk-free Treasuries of the same maturity. It is estimatethall non-cret factors (e.g. liquity risk, taxes, etc.) have a 1% sprea Whis the implieprobability of fault for this bon assuming a loss given fault rate of 60%? A.1.50% B.2.00% C.2.50% 3.75% C is correct.考点Infer Cret Risk from Corporate BonPrices.解析 预期违约的利差为2.5%-1%=1.5%1.5%/60%=2.5% 请问，什么情况下只考虑信用风险sprea什么情况下需要考虑各种风险的SPREA听完课仍然非常糊涂，烦请一下，谢谢。
NO.PZ2020033002000031问题如下 One-yeBBB-ratebon have a spreof 2.5% over risk-free Treasuries of the same maturity. It is estimatethall non-cret factors (e.g. liquity risk, taxes, etc.) have a 1% sprea Whis the implieprobability of fault for this bon assuming a loss given fault rate of 60%? A.1.50%B.2.00%C.2.50%3.75% C is correct.考点Infer Cret Risk from Corporate BonPrices.解析 预期违约的利差为2.5%-1%=1.5%1.5%/60%=2.5% YTM—rf这个sprea的是信用风险的sprea？
NO.PZ2020033002000031 问题如下 One-yeBBB-ratebon have a spreof 2.5% over risk-free Treasuries of the same maturity. It is estimatethall non-cret factors (e.g. liquity risk, taxes, etc.) have a 1% sprea Whis the implieprobability of fault for this bon assuming a loss given fault rate of 60%? A.1.50% B.2.00% C.2.50% 3.75% C is correct.考点Infer Cret Risk from Corporate BonPrices.解析 预期违约的利差为2.5%-1%=1.5%1.5%/60%=2.5% 最后一个公式是哪里来的，这道题涉及的知识点在哪里呢
