NO.PZ2023101601000005
问题如下:
An analyst is reviewing a bond for investment
purposes. The bond is expected to have a default probability of 2%, with an
expected loss of 80 bps in the event of default. If the current risk-free rate
is 4%, what is the minimum coupon spread needed on the bond for its expected
return to match the risk-free rate?
选项:
A.
90 bps
B.
120 bps
C.
200 bps
D.
280 bps
解释:
The credit risky bond
is preferable when:
(1 – PD) × (1 + r +
z) + PD × RR > 1 + r
RR = 1 – EL /PD = 0.6
(1 – 2%) × (1 + 4% +
z) + 2% × 60% = 1 + 4%
z > 0.00897
老师您好,请问这是哪个知识点里面的内容呀?可以解释一下这道题嘛?谢谢老师