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
BBB rated bond category
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:
老师您好，这道题我是这么做的：
EXR of A:0-10%x7-0.1%x1=-70.1%
EXR of BBB:0-10%x6-0.75%x1=-60.75%
EXR of BB:0-10%x5-2.5%x1=-52.5%
损失最小的选C，但是即便这样，和答案及你们给出的解题答案也不相同，这是助教给出的答案：
引用pzqa015老师的：
“嗨，爱思考的PZer你好：
EXR of A:0-0.1%*7-0.1%=-0.8%
EXR of BBB:0-0.175%*6-0.75%=-1.8%
EXR of BB:0-0.275%*5-2.5%=-3.88%
所以，这道题虽然答案是A，但是解题过程是错误的。”
所以到底哪个才是正确的？正确的答案和选项到底是什么？
