黄路迦 · 2023年03月29日
* 问题详情，请 查看题干
NO.PZ201812310200000303
问题如下：
Based on Exhibit 1, the expected future value of Bond I at maturity is closest to:
选项：
A.
98.80.
B.
103.74.
C.
105.00.
解释：
B is correct. In the event of no default, the investor is expected to receive 105. In the event of a default, the investor is expected to receive 105 – [105 × (1 – 0.40)] = 42. The expected future value of the bond is, therefore, the weighted average of the no-default and default amounts, or (105 × 0.98) + (42 × 0.02) = 103.74.
题目哪里写pod=2%
NO.PZ201812310200000303 问题如下 Baseon Exhibit 1, the expectefuture value of BonI maturity is closest to: A.98.80. B.103.74. C.105.00. B is correct. In the event of no fault, the investor is expecteto receive 105. In the event of a fault, the investor is expecteto receive 105 – [105 × (1 – 0.40)] = 42. The expectefuture value of the bonis, therefore, the weighteaverage of the no-fault anfault amounts, or (105 × 0.98) + (42 × 0.02) = 103.74. LG105*（1-RR）=63，求PVEL=LGhazarrate*=63*2%/（1+3%）=1.2233，只有一期，所以CVA=1.2233最后FV=VN- CVA=105 - 1.22 =103.78
NO.PZ201812310200000303 老师这道题计算过程为什么是这样的 没想明白到底求啥为啥这样算
如果用VNCVA 求到的value*1.03这种方式能用吗?
老师，求教此题考点对应基础班哪里哇？
