NO.PZ201812310200000303
问题如下：
Based on Exhibit 1, the expected future value of Bond I at maturity is closest to:
选项：
A.98.80.
103.74.
105.00.
解释：
B is correct. In the event of no default, the investor is expected to receive 105. In the event of a default, the investor is expected to receive 105 – [105 × (1 – 0.40)] = 42. The expected future value of the bond is, therefore, the weighted average of the no-default and default amounts, or (105 × 0.98) + (42 × 0.02) = 103.74.
LGD=105*（1-RR）=63，
求PVEL=LGD*hazard rate*DF=63*2%/（1+3%）=1.2233，
只有一期，所以CVA=1.2233
最后FV=VND - CVA=105 - 1.22 =103.78
