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廖廖酱 · 2023年05月06日

关于credit spread的一道题目

  1. CFA II
  2. Portfolio

NO.PZ2015121810000036

问题如下：

A corporate bond has a remaining maturity of 1 year, has a face value of EUR100, and is currently priced at EUR90.90. The real risk-free rate is

3.25%. Inflation is expected to be 2.0% next year, and the premium required by investors for inflation uncertainty is 0.25%. The implied credit risk premium embedded in the bond’s price is best described as:

选项：

A.

equal to (100/90.90) – 1 = 10%.

B.

10% reduced by the real risk-free rate and expected inflation.

C.

10% reduced by the real risk-free rate, expected inflation, and the premium for inflation uncertainty.

解释：

C is correct.

The implied credit risk premium embedded in the bond’s price is the yield (10%) less the default risk-free nominal interest rate, which includes a premium for inflation uncertainty. See Example 15. The credit risk premium can be calculated as 4.51% in this case:

lϒt,si=10090.90−(1+0.0325+0.02+0.0025)ϒt,si=4.51%{l}ϒ_{t,s}^i=\frac{100}{90.90}-(1+0.0325+0.02+0.0025)\\ϒ_{t,s}^i=4.51\%

考点：credit risk premium

解析：未来现金流折现求和计算债券价格。已知债券价格, real risk-free rate, Inflation rate, inflation uncertainty, 由于公司债有credit risk，所以将已知数代入公式，即可求出credit risk premium.

老师这题答案没看懂，为什么是减去（1+0.0325+0.02+0.0025），为什么要加1这里？

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已采纳答案

星星_品职助教 · 2023年05月07日

同学你好，

FV=PV*（1+r）。本题中FV=100，PV=90.90，所以1+r=100/90.90

1+r=1+real risk free rate+inflation+inflation uncertainty+credit risk premium=100/90.90

即1+3.25%+2.0%+0.25%+credit risk premium=100/90.90，

由此可得，credit risk premiun=100/90.90-（1+0.0325+0.02+0.0025）


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NO.PZ2015121810000036 问题如下 A corporate bonha remaining maturity of 1 year, ha favalue of EUR100, anis currently priceEUR90.90. The rerisk-free rate is3.25%. Inflation is expecteto 2.0% next year, anthe premium requireinvestors for inflation uncertainty is 0.25%. The impliecret risk premium embeein the bons priis best scribeas: A.equto (100/90.90) – 1 = 10%. B.10% recethe rerisk-free rate anexpecteinflation. C.10% recethe rerisk-free rate, expecteinflation, anthe premium for inflation uncertainty. C is correct.The impliecret risk premium embeein the bons priis the yiel(10%) less the fault risk-free nomininterest rate, whiinclus a premium for inflation uncertainty. See Example 15. The cret risk premium ccalculate4.51% in this case:lϒt,si=10090.90−(1+0.0325+0.02+0.0025)ϒt,si=4.51%{l}ϒ_{t,s}^i=\frac{100}{90.90}-(1+0.0325+0.02+0.0025)\\ϒ_{t,s}^i=4.51\%lϒt,si​=90.90100​−(1+0.0325+0.02+0.0025)ϒt,si​=4.51%考点cret risk premium解析未来现金流折现求和计算债券价格。已知债券价格, rerisk-free rate, Inflation rate, inflation uncertainty, 由于公司债有cret risk，所以将已知数代入公式，即可求出cret risk premium. 老师，1）这道题考的是什么？价格的影响因素么？ 2）B和C10%怎么计算的？您帮我整体讲一下这道题

2023-09-05 11:48 1 · 回答

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2021-04-02 22:30 1 · 回答

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请问10%里面除了cret risk premium 之外是什么呢？不耐情绪吗？

2020-02-16 00:02 1 · 回答