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:
EXR of A:0-10%*7-0.1%
EXR of BBB:0-10%*6-0.75%
EXR of BB:0-10%*5-2.5%
不应该是这样的公式吗？
都变化了10%啊
