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羊 · 2022年05月31日

能不能帮我解释一下这道题究竟什么意思 ，没太懂

  1. CFA II
  2. Fixed Income

NO.PZ2018123101000113

问题如下：

Thames reminds Cromwell that her model assumes zero interest rate volatility and a flat government yield curve. Cromwell responds that Thames should relax these unrealistic assumptions. Thames outlines the steps to take in valuing risky bonds under this scenario in Exhibit 1.

EXHIBIT 1 STEPS IN VALUING RISKY BONDS, ARBITRAGE-FREE FRAMEWORK


Which step in Exhibit 1 regarding valuing risky bonds has Thames most likely outlined correctly?

选项：

A.

Step 1.

B.

Step 2.

C.

Step 3.

解释：

Thames is correct in describing Step 3 but incorrect about both Step 1 and Step 2.

The third point in Step 1 is explained incorrectly. The par curve where each bond is priced at par value, not the spot curve, is used to derive implied zero-coupon rates. In the second point of Step 2, she is incorrect regarding the recovery rate. The assumption is not based on credit ratings. The recovery rate if default were to occur should conform to the seniority of the debt issue and the nature of the issuer’s assets. For instance, a firm with a high ratio of assets relative to the debt level and debt senior in the capital structure will result in a higher recovery for bondholders than one with the reverse situation.

如题，能不能帮我解释一下这道题究竟什么意思 ，没太懂，谢谢

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1 个答案

pzqa015 · 2022年06月01日

嗨，努力学习的PZer你好：


这道题考察的是用二叉树对债券估值的步骤。

第一步：错在第三句话，它说用spot curve，来推导出zero coupon rate和DF，应该是用par curve推导出spot rate(zero coupon rate)和DF。

第二步：错再说根据公司的信用评级来确定recovery rate，recovery rate与公司的信用评级无关，与债项的优先劣后顺序有关，优先级债券的RR很高，劣后级债券的RR很低。

第三步是正确的。

这道题把前两步的表述纠正后当成结论记一下吧。

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