关于这个公式中的Spread, EXR = (s × t) – (∆s × SD) – (t × p × L)

NO.PZ202209060200004203 问题如下 CentrCounty History Center (CCHis a not-for-profit history museum threcently completefunaising for a new permanent gallery. CCHC plans to contribute a portion of the fun raiseto enwment whose income will support the permanent gallery.Bill Ronane (CCHC’s presint) anAmy Mcwn (CCHC’s vipresint of finance) are meeting with Elizabeth Larent (chief investment officer of Snavely CapitManagement). The purpose of the meeting is to scuss the creation of a corporate bonportfolio this suitable for the enwment.Mcwn asks Larent to scrithe risk consirations for investment-gra bon. Larent respon stating ththe primary component of cret risk is loss severity. Furthermore, she states thcret rating migration ccause sprerisk to become realize Larent then states thinterest rate risk reflects the positive correlation between risk-free interest rates ancret sprea. Ronane asks Larent to sclose her methology for cret security selection. Larent explains thshe uses various cret spremeasures to ensure ththe securities she is consiring for purchase are fairly price Larent illustrates proving ta for three $100 pvalue A ratecorporate bon thmature in five years anwhose benchmark yielto maturity is 4.00%. Exhibit 1 ta on Corporate BonMcwn expresses concern about the timing of the cret cycle it relates to constructing a corporate bonportfolio for CCHLarent explains thshe uses a bottom-up approato termine whicorporate bon offer the best relative value shoulthe cret cycle teriorate. Larent then provis the ta in Exhibit 2 for three corporate bon in whithe holng periois assumeto one year. Exhibit 2 ta on Corporate BonLarent explains thanother approato portfolio construction is top wn. She says, “I believe thglobeconomic contions are going to improve. Cret portfolios thare overweight lower-quality bon in instry sectors thare highly correlatewith the economic cycle, suinstrimetals, will likely outperform a globbenchmark. We cuse effective ration to assess the impaof a likely steepening in the yielcurve. Within cret rating categories, we cunrweight longer-maturity bon given my expectation ththe relatively wi sprecurve will flatten.” Ronane asks Larent to scuss the factors thCCHC shoulconsir before investing in the bon of internationcompanies. Larent replies ththe internationbonuniverse consists of companies thare locatein both velopemarkets anemerging markets. In term of factors to consir, Larent states tha company’s cret ratings are inpennt from the sovereign rating of its micile anthbankruptlaws apply equally to all investors of any particulcompany’s bonissuances. Larent as thbeing able to accurately precret cycles is important because of regionfferences across the globcret universe. Mcwn asks whether structurefinanciinstruments shoulconsirefor CCHC’s portfolio. Larent replies yes anstates, “The cret cycle is expecteto improve. For purposes of versification, both collateralizeobligations (Cs) antheir unrlying corporate bon shoulincluin the portfolio. rateCs currently offer significant relative value for long-term investors the yielsprereflects a fault rate expectation for the unrlying collateral. Moreover, the value of the senior tranches shoulincrease more ththe value of the mezzanine tranches sinfault correlations are expecteto increase.” Question The bonin Exhibit 2 with the best relative value is most likely: A.Bon B.BonE. C.BonF. SolutionA is correct. Bonhthe best relative value; its expecteexcess return (EXR) hthe smallest loss given the expectation thcret sprea are going to win 25 bps (the change in the Z-sprea. The expecteexcess return calculation is follows:EXR = (s × t) – (∆s × S – (t × p × L)wheres = Z-sprea = Holng perio= Sprerationp = Probability of faultL = Loss severity Calculations are follows:B is incorrebecause Bonhthe best expecteexcess return.C is incorrebecause Bonhthe best expecteexcess return. Bon1.25%-0.25%x4-0.75%x40%= -0.0005但是答案是BonEXR=-0.1%BonE EXR=-0.125%BonF EXR=-0.2%我哪里算错了？

NO.PZ202209060200004203 问题如下 CentrCounty History Center (CCHis a not-for-profit history museum threcently completefunaising for a new permanent gallery. CCHC plans to contribute a portion of the fun raiseto enwment whose income will support the permanent gallery.Bill Ronane (CCHC’s presint) anAmy Mcwn (CCHC’s vipresint of finance) are meeting with Elizabeth Larent (chief investment officer of Snavely CapitManagement). The purpose of the meeting is to scuss the creation of a corporate bonportfolio this suitable for the enwment.Mcwn asks Larent to scrithe risk consirations for investment-gra bon. Larent respon stating ththe primary component of cret risk is loss severity. Furthermore, she states thcret rating migration ccause sprerisk to become realize Larent then states thinterest rate risk reflects the positive correlation between risk-free interest rates ancret sprea. Ronane asks Larent to sclose her methology for cret security selection. Larent explains thshe uses various cret spremeasures to ensure ththe securities she is consiring for purchase are fairly price Larent illustrates proving ta for three $100 pvalue A ratecorporate bon thmature in five years anwhose benchmark yielto maturity is 4.00%. Exhibit 1 ta on Corporate BonMcwn expresses concern about the timing of the cret cycle it relates to constructing a corporate bonportfolio for CCHLarent explains thshe uses a bottom-up approato termine whicorporate bon offer the best relative value shoulthe cret cycle teriorate. Larent then provis the ta in Exhibit 2 for three corporate bon in whithe holng periois assumeto one year. Exhibit 2 ta on Corporate BonLarent explains thanother approato portfolio construction is top wn. She says, “I believe thglobeconomic contions are going to improve. Cret portfolios thare overweight lower-quality bon in instry sectors thare highly correlatewith the economic cycle, suinstrimetals, will likely outperform a globbenchmark. We cuse effective ration to assess the impaof a likely steepening in the yielcurve. Within cret rating categories, we cunrweight longer-maturity bon given my expectation ththe relatively wi sprecurve will flatten.” Ronane asks Larent to scuss the factors thCCHC shoulconsir before investing in the bon of internationcompanies. Larent replies ththe internationbonuniverse consists of companies thare locatein both velopemarkets anemerging markets. In term of factors to consir, Larent states tha company’s cret ratings are inpennt from the sovereign rating of its micile anthbankruptlaws apply equally to all investors of any particulcompany’s bonissuances. Larent as thbeing able to accurately precret cycles is important because of regionfferences across the globcret universe. Mcwn asks whether structurefinanciinstruments shoulconsirefor CCHC’s portfolio. Larent replies yes anstates, “The cret cycle is expecteto improve. For purposes of versification, both collateralizeobligations (Cs) antheir unrlying corporate bon shoulincluin the portfolio. rateCs currently offer significant relative value for long-term investors the yielsprereflects a fault rate expectation for the unrlying collateral. Moreover, the value of the senior tranches shoulincrease more ththe value of the mezzanine tranches sinfault correlations are expecteto increase.” Question The bonin Exhibit 2 with the best relative value is most likely: A.Bon B.BonE. C.BonF. SolutionA is correct. Bonhthe best relative value; its expecteexcess return (EXR) hthe smallest loss given the expectation thcret sprea are going to win 25 bps (the change in the Z-sprea. The expecteexcess return calculation is follows:EXR = (s × t) – (∆s × S – (t × p × L)wheres = Z-sprea = Holng perio= Sprerationp = Probability of faultL = Loss severity Calculations are follows:B is incorrebecause Bonhthe best expecteexcess return.C is incorrebecause Bonhthe best expecteexcess return. Bon1.25%-0.25%x4-40%x0.75%=-0.0005但是答案却是BonEXR=-0.1%BonE EXR=-0.125%BonF EXR=-0.2%我哪里算错了呢？

NO.PZ202209060200004203 问题如下 The bonin Exhibit 2 with the best relative value is most likely: A.Bon B.BonE. C.BonF. SolutionA is correct. Bonhthe best relative value; its expecteexcess return (EXR) hthe smallest loss given the expectation thcret sprea are going to win 25 bps (the change in the Z-sprea. The expecteexcess return calculation is follows:EXR = (s × t) – (∆s × S – (t × p × L)wheres = Z-sprea = Holng perio= Sprerationp = Probability of faultL = Loss severity Calculations are follows:B is incorrebecause Bonhthe best expecteexcess return.C is incorrebecause Bonhthe best expecteexcess return. 如题

NO.PZ202209060200004203问题如下The bonin Exhibit 2 with the best relative value is most likely:A.BonB.BonE.C.BonF.SolutionA is correct. Bonhthe best relative value; its expecteexcess return (EXR) hthe smallest loss given the expectation thcret sprea are going to win 25 bps (the change in the Z-sprea. The expecteexcess return calculation is follows:EXR = (s × t) – (∆s × S – (t × p × L)wheres = Z-sprea = Holng perio= Sprerationp = Probability of faultL = Loss severity Calculations are follows:B is incorrebecause Bonhthe best expecteexcess return.C is incorrebecause Bonhthe best expecteexcess return.我不知道为啥，算出来都是负数