NO.PZ201812310200000103
问题如下:
The fair value of bond B2 is closest to:
选项:
A.€1,069.34.
B.€1,111.51.
C.€1,153.68.
解释:
A is correct. The following table shows that the CVA for the bond is €42.17, the sum of the present values of expected loss. The steps taken to complete the table are as follows.
Step 1: Exposure at Date 4 is €1,000 + Coupon amount = €1,000 + €60 = €1,060. Exposure at a date T prior to that is Coupon on Date T + PV at Date T of subsequent coupons + PV of €1,000 to be received at Date 4.
For example, exposure at Date 2 is
Steps 2 through 8 are the same as those in the solution to Question 1.
Value of the bond if the bond were default free would be €60 × DF1 + €60 × DF2 + €60 × DF3 + €1,060 × DF4 = €1,111.51.
Fair value of the bond considering CVA = €1,111.51 – €42.17 = €1,069.34
老师好:
正文里有两种yield curve,一是government bond yied curve flat at 3%,一是upward-sloping yield curve,这关乎到我们选哪个利率来算每一期的exposure,可是题目没说要用哪个yield curve。哪里显示我们得用flat yield curve 3%来算呢? 谢谢!