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ruby5ltc · 2023年06月18日

计算IRR时,为什么第一年和第二年的分子是60,第三年的分子是exposure*rr

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NO.PZ201812310200000104

问题如下:

The market price of bond B2 is1,090. If the bond is purchased at this price and there is a default on Date 3, the rate of return to the bond buyer would be closest to:

选项:

A.

–28.38%.

B.

–41.72%.

C.

–69.49%.

解释:

A is correct. If default occurs on Date 3, the rate of return can be obtained by solving the following equation for internal rate of return (IRR):

1090= 60 1+IRR + 60 (1+IRR) 2 + 326.74 (1+IRR) 3

In this equation, €60 is the amount of coupon received at Dates 1 and 2 prior to default at Date 3. The amount €326.74 is the recovery at Time 3 (from the CVA table in the solution to the previous question). The solution to the foregoing equation can be obtained using the cash flow IRR function on your calculator.

计算IRR时,为什么第一年和第二年的分子是60,第三年的分子是exposure*rr

ruby5ltc · 2023年06月19日

我没有问清楚,我想问的是:计算IRR的原理,比如第三年违约,那么第一年和第二年的分子是什么?违约当年的分子是什么?因为从题目来看,第一年和第二年的分子仅仅是当年的coupon,不包括未来每一期的现金流折现,而且也没有乘RR.而违约当年却是当年的coupon+未来现金流折现再乘以rr

3 个答案

pzqa31 · 2023年06月21日

嗨,努力学习的PZer你好:


现金流是指你实际收付的钱,折现的是估值不是现金流

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

pzqa31 · 2023年06月20日

嗨,爱思考的PZer你好:


因为IRR是内部收益率的概念,分子就应该是现金流,第一年第二年的现金流只有coupon,第三年的现金流是违约后拿到的一部分本金。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

ruby5ltc · 2023年06月20日

第一年和第二年的现金流应该是未来每一期coupon折现+当期的coupon,不应该仅是当期的coupon

pzqa31 · 2023年06月19日

嗨,从没放弃的小努力你好:


因为题目中说了 If the bond is purchased at this price and there is a default on Date 3,也就是假设在第三年会发生违约。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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