NO.PZ2020033003000067
问题如下:
Jane is asked to calculate the risk-neutral and real-world default probabilities of the bond A. She collected the following datas. The market price of the bond A with a face value of 100 is 95. The liquidity premium and credit risk premium are 2% and 1% respectively. The coupon rate of newly issued treasury bond is 2.5%. The expected inflation is 0.8%.
选项:
解释:
B is correct.
考点:Infer Credit Risk from Corporate Bond Prices
解析:risk-neutral default probability 100-95=5%
risk-neutral probability = real-world probability + credit risk premium + liquidity premium
real-world probability = 5% - 2%-1% = 2%
老师这道题计算的YTM应该是100/95-1 =5.26%,解析给的是5%应该是简化计算的吧?
另外计算real world PD的计算为什么是加上credit spread +liquidity premium 才是YTM-Rf。我觉得YTM-Rf就是credit spread +liquidity premium +inflation+risk free rate