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Joanne🍒 · 2023年05月04日

Recover rate & LOSS claim

我做到下面2个问题,

一个问题如果说zero-coupon bond违约,claim 是 P0+AI

另一个问题说,如果违约,claim 是par value*recover rate


请问这两个题目矛盾吗?该如何理解。谢谢解答。



  1. In bankruptcy, the holder of a zero-coupon bond obligation of the bankrupt corporation would have a claim equal to:
您的回答A, 正确答案是: C

C the issuing price plus accrued interest.


  1. A senior trader on the fixed-income trading desk of an investment bank is

presenting to a group of newly hired analysts on key drivers of credit risk. The

trader illustrates the concept of recovery rates using a scenario of a bank buying a

corporate bond. Which of the following would the trader be correct to identify as an

example of a corporate bond that is held by the bank and has a recovery rate of

35%? 


D is correct. The recovery rate for a bond is usually defined as the value of the bond

shortly after default and it is expressed as a percentage of its face (par) value. It

can be thought of as the amount of the obligation the lender can expect to recover if

the firm defaults.

1 个答案
已采纳答案

DD仔_品职助教 · 2023年05月06日

嗨,爱思考的PZer你好:


同学你好,

这俩都是对的,都没有问题。

宣布破产之后有两种情况,第一种是有足够的现金流偿还债权人,那么此时债权人就可以得到fully repay,那么得到的金额就是发行时的价格+AI;第二种情况是公司穷到连给债权人的钱都没有了,此时就只能按照recover rate来进行偿还,那么债权人拿到了就是(1-RR)这部分。相当于第一种情况是第二种的特例,当第二种情况的RR=100%时,拿到的钱就是发行价格+AI。

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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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