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梁 · 2022年01月20日

为什么不选B POD

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000012

问题如下：

Which of the following outcomes is most likely if the junior analyst revises the bond’s original recovery rate higher?

选项：

A.

An increase in the bond’s POD

B.

A decrease in the bond’s POD

C.

A decrease in the bond’s credit spread

解释：

C is correct. An increase in a bond’s recovery rate will lower the loss severity, or LGD, because LGD = (1 – RR).

Recall the simple one-period relationship between credit spreads, LGD, and the POD as Spread ≈ LGD × POD. A lower LGD will result in a lower spread.

我认为

POD降低的话债券价值也会提高

但这个和recorvy rate无关的意思么



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1 个答案

pzqa015 · 2022年01月21日

嗨，努力学习的PZer你好：


POD与recovery rate无关哈，POD是违约概率，recovery rate是违约发生时的抵押物偿付程度。有的企业可能违约概率很高，但是违约发生时抵押物充足，投资者损失不会很大，credit spread就低，有的企业违约概率低，但是没有抵押物，违约发生后损失也很大，credit spread可能会很高。

POD与RR是不相关的哈。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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