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滴滴姐姐~ · 2022年01月05日

instanteous 啥时候是代表holding period=0 啥时候是代表形容词无意义呀

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NO.PZ202112010200001903

问题如下:

Which bond rating category offers the highest expected excess return if spreads instantaneously rise 10% across all ratings categories?

选项:

A.

A rated bond category

B.

BBB rated bond category

C.

BB rated bond category

解释:

A is correct. If spreads rise 10% across all ratings categories, we can use

E[ExcessSpread] ≈ Spread0 –(EffSpreadDur × ΔSpread) – (POD × LGD) to solve

for expected excess spread as follows:


这题我以为是按照t=0算呢。。虽然答案也是A吧。。但真没意会出来spread_0要变。。。

滴滴姐姐~ · 2022年01月05日

这题我大概知道了 instant return是 t=0。instant yield rise/decline就是无意义的形容词嗯~

1 个答案

pzqa015 · 2022年01月05日

嗨,爱思考的PZer你好:


一般遇到instant yield rise/decline,要想到用△y*duration这个公式来判断债券收益率的变化哈。

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