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jojo · 2023年07月08日

请问这道题怎么看得出是用二叉树求的?题干也没有提到,我用的就是固定利率求的。

* 问题详情,请 查看题干

NO.PZ202304070100009105

问题如下:

Ibarra is interested in analyzing how a simultaneous decrease in the recovery rate and the probability of default would affect the fair value of bond B2. She decreases both the recovery rate and the probability of default by 25% of their existing estimates and recomputes the bond’s fair value. The recomputed fair value is closest to:

选项:

A.

€1,096.59.

B.

€1,108.40.

C.

€1,111.91.

解释:

Correct Answer: B

The recovery rate to be used now in the computation of fair value is 30% × 0.75 = 22.500%, whereas the hazard rate to be used is 1.50% × 0.75 = 1.125%.

The tree that shows the valuation assuming no default of bond B2 in the solution to Question (3) will not be affected by the foregoing changes. Accordingly, VND remains €1,144.63.

Following the steps outlined in the solution to Question (3), the following table is prepared, which shows that the CVA for the bond decreases to €36.23. Thus, Ibarra concludes that a decrease in the probability of default has a greater effect on fair value than a similar decrease in the recovery rate. The steps taken to complete the table are the same as those in Question (3). There are no changes in exposures or discount factors in this table.


Fair value of the bond considering CVA = €1,144.63 – CVA = €1,144.63 – €36.23 = €1,108.40

1 个答案

pzqa015 · 2023年07月09日

嗨,从没放弃的小努力你好:


这是一道大case题,case题的前后题目有时候有相关性。前面一道小题用二叉树计算了B2的价格,这道题说POD和RR下降如何影响到B2的价格,所以,相当于假设exposure不变,用的前面计算的B2的exposure,仅考察POD与RR变化后的债券价格。这道题并没有信息告诉要用二叉树计算expousre,只是因为前面的题明确了用二叉树计算B2的价格,所以这道题沿用下来,如果前面用的是固定利率来计算B2的价格,那么这道题也应该用固定利率来计算exposure。


如果不考虑前面的题,仅仅就这道题来看的话,用固定利率计算也没问题。

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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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