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滴滴姐姐~ · 2022年01月05日

第三问这个excess spread是怎么算出来的呀 似乎不是常见的那个公式呀？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

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:


可不可以举俩例子let me 康康！谢谢谢谢~

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滴滴姐姐~ · 2022年01月05日

bbb 和bb 麻烦老师算一下！

滴滴姐姐~ · 2022年01月05日

看了视频解析 懂了 delta_spread=.1*current spread！10%是变动率 不是绝对量！

2 个答案

pzqa015 · 2022年01月28日

嗨，爱思考的PZer你好：


这道题出的不严谨哈

正常情况下会明确告诉持有期多久，instantenously主要是为了计算spread*△s的，因为spread衡量的是收益率曲线瞬间变动，对债券价格的影响。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa015 · 2022年01月05日

嗨，努力学习的PZer你好：


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

闫珅考试必过 · 2022年01月27日

instantaneously t=0吧

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