Carina9999 · 2022年07月19日
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NO.PZ202112010200001603
问题如下：
What is the expected excess spread of the BBB rated bond for an instantaneous 50 bp decline in yields if the bond’s LGD is 40% and the POD is 0.75%?
选项：
A.1.95%
2.45%
2.70%
解释：
C is correct. The expected excess spread is equal to the change in spread multiplied by effective spread duration (–(EffSpreadDur × ΔSpread)) less the product of LGD and POD, which we can solve for to get 2.70% (=(–6 × 0.50%) – (0.75% × 40%)).
-(-0.5*6)-0.4*0.75
NO.PZ202112010200001603 问题如下 Whis the expecteexcess spreof the Bratebonfor aninstantaneous 50 cline in yiel if the bons LGis 40% anthe POis0.75%? A.1.95% B.2.45% C.2.70% C is correct. The expecteexcess spreis equtothe change in spremultiplieeffective spreration (–(EffSpreaur ×ΔSprea) less the proof LGanPO whiwe csolve for to get 2.70% (=(–6 ×0.50%) – (0.75% × 40%)). 老师好 除了这题的spre是-0.5%. 是不是这个(密匙）不适用了？因为这题里Sprea *0, 而 po*lg乘以了t? 截图里说的是反的。 应该哪个对？ 谢谢。
NO.PZ202112010200001603问题如下 Whis the expecteexcess spreof the Bratebonfor aninstantaneous 50 cline in yiel if the bons LGis 40% anthe POis0.75%? A.1.95% B.2.45% C.2.70% C is correct. The expecteexcess spreis equtothe change in spremultiplieeffective spreration (–(EffSpreaur ×ΔSprea) less the proof LGanPO whiwe csolve for to get 2.70% (=(–6 ×0.50%) – (0.75% × 40%)). for instantaneous 50 cline in yiel这个是sprea变化吗？不可能是benchmark的变化？
NO.PZ202112010200001603 为什么expecteexcess sprea等于2.75-(-0.5*6)-0.4*0.75，而只有后面一部分？
NO.PZ202112010200001603 最后一句whiwe csolve for to get 2.70% (=(–6 × 0.50%) – (0.75% × 40%)). 应该是 –（6 ×(-50bp)) – (0.75% × 40%) = 2.7%
