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sabrinayue · 2023年11月10日

这道题为什么不能用risk neutral的公式 lamda等于spread除以1-RR？

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000032

问题如下：

An investment manager who specializes in credit-linked bonds is trying to find the credit-linked yield spread on a one-year BB-rated coupon issued by a multinational company. With the current market risk-free rate of 2% per annum and a default rate of 8% for BB-rated bonds and a default loss rate of 70%, a reasonable yield to maturity for this bond is

选项：

A.

4.51%

B.

6.00%

C.

7.50%

D.

8.05%

解释：

D is correct.

考点：Infer Credit Risk from Corporate Bond Prices

解析：

假设收益率为y，则有公式

11+y=1∗(1−π)1+rf+f∗π1+rf\frac1{1+y}=\frac{1\ast(1-\mathrm\pi)}{1+r_f}+\frac{\mathrm f\ast\mathrm\pi}{1+r_f}

代入数字，有

1/（1+y）=（1-8%）/（1+2%）+（1-70%）*8%/（1+2%）

得到 y=8.05%

这道题为什么不能用risk neutral的公式 lamda等于spread除以1-RR？

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已采纳答案

pzqa27 · 2023年11月14日

嗨，从没放弃的小努力你好：


因为那只是一个近似的计算，题目解释使用的这种算法是精确的计算，由于选项之间差距不大，因此这个题推荐使用精确计算

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

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