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Leo 昊子 · 2022年01月22日

英语理解

  1. CFA I
  2. Quantitative

NO.PZ2018062016000002

问题如下：

Company XYZ issues two one-year bonds at the same time. Bond A is rated AAA grade while Bond B is B+ grade. The most likely risk premium between the two bonds is:

选项：

A.

maturity risk premium

B.

inflation rate

C.

default risk premium

解释：

C is correct.

AAA grade and B+ grade is the credit rating of the bonds. A bond with triple A grade is high quality bond, and a bond with B+ grade is high yield bond (or junk bond). Bond A and Bond B are similar except for the credit rating. Therefore, the most likely risk premium in this question is default risk premium.

the most likely的意思不是最相同的意思吗，那应该选maturity啊
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1 个答案

星星_品职助教 · 2022年01月22日

同学你好，

这道题可以分解为以下三个层面去理解：

1）这两只债券看上去方方面面都很类似，只有评级不同；

2）这两只债券的收益率之间存在risk premium的不同；

3）这个不同的risk premium最可能（most likely）是因为什么导致的；

根据以上分析和题干，可以知道收益率不同就是因为评级不同造成的，评级不同对应的是default risk premium。

而由于两只债券发行时间一样，到期日也一样，所以不存在inflation和maturity premium的不同。

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