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seven-zhu · 2022年10月10日

default loss rate

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000032

问题如下：

An investment manager who specializes in credit-linked bonds is trying to find the credit-linked yield spread on a one-year BB-rated coupon issued by a multinational company. With the current market risk-free rate of 2% per annum and a default rate of 8% for BB-rated bonds and a default loss rate of 70%, a reasonable yield to maturity for this bond is

选项：

A.

4.51%

B.

6.00%

C.

7.50%

D.

8.05%

解释：

D is correct.

考点：Infer Credit Risk from Corporate Bond Prices

解析：

假设收益率为y，则有公式

11+y=1∗(1−π)1+rf+f∗π1+rf\frac1{1+y}=\frac{1\ast(1-\mathrm\pi)}{1+r_f}+\frac{\mathrm f\ast\mathrm\pi}{1+r_f}

代入数字，有

1/（1+y）=（1-8%）/（1+2%）+（1-70%）*8%/（1+2%）

得到 y=8.05%

题目里面的70%为什么是risk recovery rate,而不是LGD呢

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已采纳答案

品职答疑小助手雍 · 2022年10月11日

同学你好，题目里给的是LGD 70%。

解析里分子里乘以的是剩下的额度，也就是recovery rate 1-70% 即30%。


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