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肖瀚 · 2022年08月14日

涉及知识点

NO.PZ2018123101000108

问题如下:

Kowalski asks Lebedeva, “What might cause the bond’s credit spread to decrease?” The most appropriate response to Kowalski’s question relating to the credit spread is:

选项:

A.

an increase in the hazard rate.

B.

an increase in the loss given default.

C.

a decrease in the risk-neutral probability of default.

解释:

C is correct. A decrease in the risk-neutral probability of default would decrease the credit valuation adjustment and decrease the credit spread. In contrast, increasing the bond’s loss-given-default assumption and increasing the probability-of-default (hazard rate) assumption would increase the credit valuation adjustment and decrease the fair value of the bond (and increase the yield to maturity and the credit spread over its benchmark).

想问下这道题涉及的知识点在讲义哪页可以看到呀

1 个答案
已采纳答案

pzqa015 · 2022年08月14日

嗨,努力学习的PZer你好:


这是一个综合的知识点

引起credit spread变小的原因可以是公司基本面变好,那么POD会下降,所以选择C。

A选项的hazard rate与C选项的prob of defualt指的都是POD


引起credti spread变小的另一个原因是LGD变小而不是变大,所以B错误。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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