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胡昊东🇨🇳 · 2022年11月06日

Credit RP 和 Default RP 的区别

  1. CFA I
  2. Quantitative

NO.PZ2018062016000002

问题如下：

Company XYZ issues two one-year bonds at the same time. Bond A is rated AAA grade while Bond B is B+ grade. The most likely risk premium between the two bonds is:

选项：

A.

maturity risk premium

B.

inflation rate

C.

default risk premium

解释：

C is correct.

AAA grade and B+ grade is the credit rating of the bonds. A bond with triple A grade is high quality bond, and a bond with B+ grade is high yield bond (or junk bond). Bond A and Bond B are similar except for the credit rating. Therefore, the most likely risk premium in this question is default risk premium.

Credit RP 和 Default RP 一样吗？

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1 个答案

星星_品职助教 · 2022年11月06日

同学你好，

数量的这个知识点里，只存在default risk premium这一种描述，不存在credit RP或者其他的描述。

在其余的章节或者科目中，有可能存在这两个单词的混用。

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