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
BBB rated bond category
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:
本题基于老师讲的结论： 出现instantaneous change spread时 spread0 x t = 0， 所以EXR只由后两项决定，本题没有涉及投资期，所以默认t=1，
EXR of A:0-10%x7-0.1%x1=-70.1%
EXR of BBB:0-10%x6-0.75%x1=-60.75%
EXR of BB:0-10%x5-2.5%x1=-52.5%
损失最小的选C，这么做错哪了？
