开泰-王飞 · 2022年11月06日
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NO.PZ202112010200001601
问题如下：
What is the approximate excess return if the BBB rated bond is held for six months and the credit spread narrows by 40 bps, ignoring spread duration changes and assuming no default losses?
选项：
A.3.775%
2.35%
2.40%
解释：
A is correct.
Recall that ExcessSpread ≈ (Spread0/Periods Per Year) – (EffSpreadDur × ∆Spread), so we combine the 6-month return with the spread duration–based price change estimate to get 3.775% (= (2.75% × 0.5) – (6 × –0.4%)).
如题
NO.PZ202112010200001601 问题如下 Whis the approximate excess return if the Bratebonishelfor six months anthe cret sprenarrows 40 bps, ignoring spreauration changes anassuming no fault losses? A.3.775% B.2.35% C.2.40% A is correct.Recall thExcessSpre≈ (Sprea/PerioPer Year) – (EffSpreaur × ∆Sprea, so we combine the 6-month returnwith the spreration–baseprichangeestimate to get 3.775% (= (2.75% × 0.5) – (6 × –0.4%)). 老师好，关于这道题计算excess sprea公式，将以写的不是年化公式么，所以持有六个月确实应该除以二，但是我看答案里除以二只作用在了2.75%上？为什么不是（2.75%-（6*-0.4%））/2这么算的呢？
NO.PZ202112010200001601 问题如下 Whis the approximate excess return if the Bratebonishelfor six months anthe cret sprenarrows 40 bps, ignoring spreauration changes anassuming no fault losses? A.3.775% B.2.35% C.2.40% A is correct.Recall thExcessSpre≈ (Sprea/PerioPer Year) – (EffSpreaur × ∆Sprea, so we combine the 6-month returnwith the spreration–baseprichangeestimate to get 3.775% (= (2.75% × 0.5) – (6 × –0.4%)). 好像没看到、？
NO.PZ202112010200001601 问题如下 Whis the approximate excess return if the Bratebonishelfor six months anthe cret sprenarrows 40 bps, ignoring spreauration changes anassuming no fault losses? A.3.775% B.2.35% C.2.40% A is correct.Recall thExcessSpre≈ (Sprea/PerioPer Year) – (EffSpreaur × ∆Sprea, so we combine the 6-month returnwith the spreration–baseprichangeestimate to get 3.775% (= (2.75% × 0.5) – (6 × –0.4%)). excess sprea公式
NO.PZ202112010200001601 ExcessSpre≈ (Sprea/Perio Per Year) – (EffSpreaur × ∆Sprea, 这个公式没啥印象，是考的什么知识点？
