开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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？

添加评论
1 个答案
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！

  • 1

    回答

  • 0

    关注

  • 194

    浏览
相关问题

NO.PZ2020033002000032 问题如下 investment manager who specializes in cret-linkebon is trying to finthe cret-linkeyielspreon a one-yeBB-ratecoupon issuea multinationcompany. With the current market risk-free rate of 2% per annum ana fault rate of 8% for BB-ratebon ana fault loss rate of 70%, a reasonable yielto maturity for this bonis 4.51% B.6.00% 7.50% 8.05% is correct.考点Infer Cret Risk from Corporate BonPrices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}1+y1​=1+rf​1∗(1−π)​+1+rf​f∗π​代入数字，有1/（1+y）=（1-8%）/（1+2%）+（1-70%）*8%/（1+2%）得到 y=8.05% 为什么不能用简化方法？简化方法算完等于4.4%ytm-2%=8%*(1-0.7)与精确算法为什么差一倍多了呢？

2023-03-12 00:23 2 · 回答

NO.PZ2020033002000032 问题如下 investment manager who specializes in cret-linkebon is trying to finthe cret-linkeyielspreon a one-yeBB-ratecoupon issuea multinationcompany. With the current market risk-free rate of 2% per annum ana fault rate of 8% for BB-ratebon ana fault loss rate of 70%, a reasonable yielto maturity for this bonis 4.51% B.6.00% 7.50% 8.05% is correct.考点Infer Cret Risk from Corporate BonPrices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}1+y1​=1+rf​1∗(1−π)​+1+rf​f∗π​代入数字，有1/（1+y）=（1-8%）/（1+2%）+（1-70%）*8%/（1+2%）得到 y=8.05% 同样是求ytm rate， 加入我通过 risk neutral的公式= 未来现金流折现求pri两式子相等，带入其他参数比如fault rate， rf rate，loss rate 反求ytm=4.51%请老师指点一下这个并非近似（ytm-rf ≈。。。）的方法，为什么求出来的ytm不对呢。 我这种方法错在哪里呢？ 多谢

2023-02-05 16:29 3 · 回答

NO.PZ2020033002000032 问题如下 investment manager who specializes in cret-linkebon is trying to finthe cret-linkeyielspreon a one-yeBB-ratecoupon issuea multinationcompany. With the current market risk-free rate of 2% per annum ana fault rate of 8% for BB-ratebon ana fault loss rate of 70%, a reasonable yielto maturity for this bonis 4.51% B.6.00% 7.50% 8.05% is correct.考点Infer Cret Risk from Corporate BonPrices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}1+y1​=1+rf​1∗(1−π)​+1+rf​f∗π​代入数字，有1/（1+y）=（1-8%）/（1+2%）+（1-70%）*8%/（1+2%）得到 y=8.05% 前面有题目是用简化公式做的算出来YTM-2%=8%*70%，YTM=7.6%

2022-10-30 19:34 3 · 回答

NO.PZ2020033002000032 问题如下 investment manager who specializes in cret-linkebon is trying to finthe cret-linkeyielspreon a one-yeBB-ratecoupon issuea multinationcompany. With the current market risk-free rate of 2% per annum ana fault rate of 8% for BB-ratebon ana fault loss rate of 70%, a reasonable yielto maturity for this bonis 4.51% B.6.00% 7.50% 8.05% is correct.考点Infer Cret Risk from Corporate BonPrices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}1+y1​=1+rf​1∗(1−π)​+1+rf​f∗π​代入数字，有1/（1+y）=（1-8%）/（1+2%）+（1-70%）*8%/（1+2%）得到 y=8.05% 题目里面的70%为什么是risk recovery rate,而不是LG

2022-10-10 23:25 1 · 回答