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小小悟空yu · 2021年11月20日

问一道题:NO.PZ2020033002000061 [ FRM II ]

问题如下图:

但是题目问的是return并不是price啊,如果是risky bond Return 那应该等于risk free bond return 加上 cds spread啊

选项:

A.

B.

C.

D.

解释:

1 个答案

李坏_品职助教 · 2021年11月20日

嗨,爱思考的PZer你好:


对啊,CDS spread就是CDS空头收到的保费啊,所以是D项说的无风险债券收益率+CDS short(每年收到fixed rate)

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