An active United States–based credit manager faces the following US and European investment-grade and high-yield corporate bond portfolio choices:
The EUR IG and EUR HY allocations are denominated in euros, and the euro is expected to depreciate by 2% versus the US dollar over the next year.
What is the approximate unhedged excess return to the United States–based credit manager for an international credit portfolio index equally weighted across the four portfolio choices, assuming no change to spread duration and no default losses occur?
A –0.257% B –0.850% C 0.750%
答案：A
老师，这个题目的计算过程可以写一下吗？怎么算出A？
为什么没有no default losses occur为什么会有expected loss？
