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toffee · 2023年05月23日

这道题？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200001903

问题如下：

Which bond rating category offers the highest expected excess return if spreads instantaneously rise 10% across all ratings categories?

选项：

A.

A rated bond category

B.

BBB rated bond category

C.

BB rated bond category

解释：

A is correct. If spreads rise 10% across all ratings categories, we can use

E[ExcessSpread] ≈ Spread0 –(EffSpreadDur × ΔSpread) – (POD × LGD) to solve

for expected excess spread as follows:


前面不是总结了说 instantaneous的时候 第一个T=0 ，后面的那个直接用PDXLGD吗？ 怎么解析里又把 前面的 spread 带上了？

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2 个答案

pzqa015 · 2024年01月09日

嗨，努力学习的PZer你好：


对呀，第二项是-ED*spread，0.1%、0.175%、0.275%是新旧OAS之差，就是spread呀

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa015 · 2023年05月25日

嗨，从没放弃的小努力你好：


解析是错误的。

EXR of A:0-0.1%*7-0.1%=-0.8%

EXR of BBB:0-0.175%*6-0.75%=-1.8%

EXR of BB:0-0.275%*5-2.5%=-3.88%

所以，这道题虽然答案是A，但是解题过程是错误的。

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加油吧，让我们一起遇见更好的自己！

Carina9999 · 2024年01月09日

duration不是应该乘以spread的变动吗？ 应该都乘以0.1呀？为什么老师都乘以oas呢

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