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CC · 2023年08月14日

CS的影响因素

NO.PZ2018123101000108

问题如下:

Kowalski asks Lebedeva, “What might cause the bond’s credit spread to decrease?” The most appropriate response to Kowalski’s question relating to the credit spread is:

选项:

A.

an increase in the hazard rate.

B.

an increase in the loss given default.

C.

a decrease in the risk-neutral probability of default.

解释:

C is correct. A decrease in the risk-neutral probability of default would decrease the credit valuation adjustment and decrease the credit spread. In contrast, increasing the bond’s loss-given-default assumption and increasing the probability-of-default (hazard rate) assumption would increase the credit valuation adjustment and decrease the fair value of the bond (and increase the yield to maturity and the credit spread over its benchmark).

老师,无风险的中性概率是如何影响的?我考虑这个问题,会先看看这个因素在哪个公式里,然后看变动关系。这个如何考虑?

1 个答案

pzqa31 · 2023年08月15日

嗨,努力学习的PZer你好:


同学可以参考一下讲义:

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

YAO Monica · 2024年03月15日

这个结论具体是在原版书,还是2024最新的讲义当中?

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