NO.PZ202112010200001901
问题如下：
Which bond rating category offers the highest expected excess return if credit spreads remain stable under current market conditions?
选项：
A.A rated bond category
BBB rated bond category
BB rated bond category
解释：
B is correct. Recall that expected excess spread is defined as follows:
E [Excess Spread] ≈ Spread0 –
(EffSpreadDur × ΔSpread) – (POD × LGD)
Because ∆Spread = 0, the expected excess spread is the simple difference between current OAS and expected loss, so E[Excess Spread] is 0.90%, 1.00%, and 0.25% for the A-, BBB-, and B rated categories, respectively.
老师请问，如果该题没有给OAS的话，是不是期初的spread就等于0，只需要看LGD*POD就好？
“OAS是期初买入时公司债收益率与基准利率的差，它是期初的spread。
如果买入后，spread不发生变化（EffspreadDur*△spread=0），那么持有期间的超额收益就是期初的spread，也就是OAS。
如果买入后，spread发生变化（EffspreadDur*△spread≠0），那么持有期间的超额收益发生变化，不再是期初spread。”
