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506623496 · 2023年08月26日

no default losses occur 就不用算 expected loss 吗？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200003101

问题如下：

What is the approximate unhedged excess return to the United States–based credit manager for an international credit portfolio index equally weighted across the four portfolio choices, assuming no change to spread duration and no default losses occur?

选项：

A.

–0.257%

B.

–0.850%

C.

0.750%

解释：

A is correct. We solve for the excess spread by subtracting Expected Loss from

the respective OAS:


Recall that the United States–based investor must convert the euro return to US dollars using RDC = (1 + RFC) (1 + RFX) – 1, so the USD IG and USD HY positions comprising half the portfolio return an average 0.80%, while the EUR IG and EUR HY positions return –1.314% in US dollar terms (= ((1 + ((0.65% + 0.75%)/2)) × 0.98) – 1), so –0.257% = ((0.80% – 1.314%)/2).

公式里最后一项expected loss，不是预期损失吗，和是否发生违约有关系吗？是否能需要计算最后一项

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pzqa015 · 2023年08月27日

嗨，从没放弃的小努力你好：


如果假设没有default发生，那么是不需要计算EL了，因为如果没有default发生，这件事就是确定的了，EL考察的是一定违约概率下的损失，既然违约概率是0了，那么当然就没损失了。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa015 · 2023年08月28日

嗨，努力学习的PZer你好：


这道题计算过程是错误的，题目说了no default loss occur，所以，不需要考虑EXR计算公式的第三项EL，同时，没有给出spread的变动信息，所以，第二项△spread*ED这一项也没法计算。

只能用第一项OAS来计算。

对于US IG与US HY来说，EXR=OAS

对于EUR IG与EUR HY来说，由于是跨国投资，需要考虑汇率的变动，所以EXR=（1+OAS）(1+RFX)-1,RFX=-2%。

所以，EXR(US IG）=1.25%；EXR(US HY)=3.00%；EXR(EUR IG)=-0.873%；EXR(EUR HY)=1.18%。

所以portfolio 的EXR=1/4（1.25%++3%-0.873%+1.18%）=1.14%。

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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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