NO.PZ2020033002000031
问题如下:
One-year BBB-rated bonds have a spread of 2.5% over risk-free Treasuries of the same maturity. It is estimated that all non-credit factors (e.g. liquidity risk, taxes, etc.) have a 1% spread. What is the implied probability of default for this bond, assuming a loss given default rate of 60%?
选项:
A.1.50%
B.2.00%
C.2.50%
D.3.75%
解释:
C is correct.
考点:Infer Credit Risk from Corporate Bond Prices.
解析:
预期违约的利差为2.5%-1%=1.5%
1.5%/60%=2.5%
请问,什么情况下只考虑信用风险spread,什么情况下需要考虑各种风险的SPREAD。听完课仍然非常糊涂,烦请解释一下,谢谢。