NO.PZ201812310200000202
问题如下：
Based on Exhibit 1, the one-year expected return on the Entre Corp. bond is closest to:
选项：
A.3.73%.
5.50%.
7.27%.
解释：
A is correct. The expected return on the Entre Corp. bond over the next year is its yield to maturity plus the expected percentage price change in the bond over the next year. In the table below, for each possible transition, the expected percentage price change is the product of the bond’s modified duration of 7.54, multiplied by –1, and the change in the spread, weighted by the given probability:
Expected percentage price change = (0.0002 × 6.786%) + (0.0030 × 4.524%) + (0.0480 × 3.016%) + (0.8573 × 0.000%) + (0.0695 × –14.326%) + (0.0175 × –37.700%) + (0.0045 × –60.320%)
= –1.76715%.
So, the expected return on the Entre Corp. bond is its yield to maturity plus the expected percentage price change due to credit migration:
Expected return = 5.50% – 1.77% = 3.73%.
老师，我一开始想到的关于expected return肯定就是收益能够是多少？
但是在这题里面，我看了答案，是关于信用转移矩阵的，这个也是被叫作expected return吗？我也看到了强化课PPT里面credit rating这一章写的是creidt spread migration typically reduces the expected retrun, 这个就是用这个公式求出来的变化的值是吗？
