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RyanR · 2023年04月05日

fixed rate不算固定amout吗

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000053

问题如下：

Cash flows can be classified by two main dimensions: time and amount. The following statements are about the taxonomy of cash flows, which of the followings is NOT correct?

选项：

A.

First dimension to classify future cash flows is time, CFs may occur at future instants known with certainty or occur at some random instants in the future (Stochastic time).

B.

Second dimension to consider is the amount, CFs may occur in an amount known with certainty or cannot be fully determined (Stochastic cash flows).

C.

For the fixed-rate bond issued by AA-rated corporation, the bond belongs to the deterministic amount and deterministic time.

D.

When the amount is deterministic, cash flows can be labelled simply as fixed as a result of being set in such a way by the terms of a contract.

解释：

考点：对A Taxonomy of Cash Flows的理解

答案：C

解析：

只有Risk-free的现金流才属于Deterministic amount and Deterministic time，C选项说的AA-rated bond，存在Default risk，因此不属于该类现金流。

只有看到risk free才能认定是确定的金额？

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DD仔_品职助教 · 2023年04月05日

嗨，努力学习的PZer你好：


同学你好，

是的，rf没有任何风险，是绝对可以拿到手的，就算是固定利率，也有违约风险，不一定可以拿到手里。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

RyanR · 2023年04月07日

谢谢老师。我后面在做其他题的时候，有看到讲解说fixed-rate是指coupon rate是fixed的，是这样吗。

DD仔_品职助教 · 2023年04月07日

嗨，爱思考的PZer你好：


是的，就算是coupon rate，也不是100%可以拿到的，有违约风险

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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