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:
老师请问，这里的0.1%，0.175%，0.275%是等于Current OAS * 10% 得出来的吗？所以该公式的ΔSpread=Current OAS * 10%？这题目的答案解析是错误的，我们不需要参考的吧？
E[ExcessSpread] ≈ Spread0 –(EffSpreadDur × ΔSpread) – (POD × LGD)
“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。”
