NO.PZ2020011901000039
问题如下:
Consider two bonds. One is a CAT bond where there is no default risk. The other is a regular corporate bond. An analysis has shown that the expected loss from default risks on the corporate bond is the same as the expected loss from insurance claims on the CAT bond. The bonds have the same coupon and the same price. Which bond would be most attractive to a fund manager with an exist-ing portfolio of corporate bonds?
选项:
A. The bonds are likely to be equally attractive
The CAT bond is likely to be more attractive
The corporate bond is likely to be more attractive
Any of A, B, and C could be true.
解释:
B. The CAT bond is likely to be more attractive because it offers better diversification benefits. The corporate bond’s return will be somewhat correlated with the return on market indices. The CAT bond has the advantage that its return is almost entirely uncorrelated with the return on market indices.
如果发生巨灾,CAT bond收到的本金和利息不是都会降低么?