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 toUS 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 EURIG 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).
老师这个EURIG and EUR HY 我算的收益率和你们之前在评论区提供的答案不一样，麻烦给出具体的解答过程。图片无法复制关于题目的具体信息希望能根据题目号码自行查看，谢谢。
