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Brownie · 2022年11月28日

PD*LGD后面要不要乘以时间T?

* 问题详情,请 查看题干

NO.PZ202112010200001903

问题如下:

Which bond rating category offers the highest expected excess return if spreads instantaneously rise 10% across all ratings categories?

选项:

A.

A rated bond category

B.

BBB rated bond category

C.

BB rated bond category

解释:

A is correct. If spreads rise 10% across all ratings categories, we can use

E[ExcessSpread] ≈ Spread0 –(EffSpreadDur × ΔSpread) – (POD × LGD) to solve

for expected excess spread as follows:


我印象中,在基础班讲解这章的例题里(例题课也有),何老师有提到,PD*LGD后面实际也要*t

请问,这道题瞬时变动,PD*LGD后面是不是也应该乘以0?

1 个答案

pzqa015 · 2022年11月28日

嗨,爱思考的PZer你好:


这个知识点原版书的题解题过程不准确,教研组老师讨论以后,统一得到下面的两条原则,遇着这个知识点的题,同学都按照下面两个原则来解题吧。

 

1、只要有instan,第一项spread就乘以t=0,第三项LGD*PD不乘0了,LGD*PD是多少就是多少。

所以,如果是Instan,Excess spread这么算:

EXR = Spread 0 × 0 - spread duration × △ Spread - LGD × PD

 

 

2、若没有instan,那么持有期是多少(小于1年),第一项Spread和第三项LGD*PD都要乘以t。所以Excess spread这么算:

EXR = Spread 0 × t - spread duration × △ Spread - LGD × PD×t

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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