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410140980 · 2023年07月03日

Assuming the risk premium of duration risk is 40 bps each year,

NO.PZ2022062755000001

问题如下:

A market risk manager seeks to calculate the price of a 2-year zero-coupon bond. The 1-year interest rate today is 8.0%. There is a 50% probability that the 1-year interest rate will be 10.0% in 1 year and a 50% probability that it will be 6.0% in 1 year. Assuming the risk premium of duration risk is 40 bps each year, and the bond’s face value is EUR 1,000, which of the following should be the price of the zero-coupon bond?

选项:

A.

EUR 822.98

B.

EUR 854.47

C.

EUR 905.30

D.

921.66

解释:

中文解析:

We can find the price of the 2-year zero-coupon bond by using a binomial tree as follows:


To find the value at date 0, we must first find the expected value of the price on date 1:


and then discount this by the rate at date 0:


 Assuming the risk premium of duration risk is 40 bps each year,老师题目说的是每年风险溢价是0.4%,我觉得第一年的折现8%也应该加上0.4%才对啊

1 个答案

DD仔_品职助教 · 2023年07月03日

嗨,从没放弃的小努力你好:


同学你好,

第一年的利率8%是已经确定了的,只有第二年的利率才会有不确定性,也就是上升或者下降,同时还会有risk premium,所以第一年的8%不需要考虑risk premium。

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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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