youtkr · 2024年01月25日
* 问题详情，请 查看题干
NO.PZ202112010200001903
问题如下：
Which bond rating category offers the highest expected excess return if spreads instantaneously rise 10% across all ratings categories?
选项：
A.A rated bond category
BBB rated bond category
BB rated bond category
解释：
A is correct. If spreads rise 10% across all ratings categories, we can use
E[ExcessSpread] ≈ Spread0 –(EffSpreadDur × ΔSpread) – (POD × LGD) to solve
for expected excess spread as follows:
如题
pzqa31 · 2024年01月26日
嗨，爱思考的PZer你好：
这个就是最常规的用expected excess return公式来计算，当然要加POD*LGD
POD*LGD需要乘以时间t。如果投资期是0.5年的话，t=0.5，计算Expected excess return就是：
Expected excess return = spread0 × 0.5 - Spread duration × △Spread + LGD × PD × 0.5
这是一般情况计算Return。Spread0与LGD×PD都需要乘以t。
但有一种特殊情况，就是，如果题干说Spread发生瞬时改变(instantenously)，此时我们理解t=0，这时候让计算Expected excess return，LGD × PD就不要乘以时间t，只有Spread0需要乘以t，计算式子就是：
Expected excess return = spread0 × 0 - Spread duration × △Spread + LGD × PD = - Spread duration × △Spread + LGD × PD
----------------------------------------------虽然现在很辛苦，但努力过的感觉真的很好，加油！
Felix Young · 2024年02月05日
EXR公式里是 【+ LGD × PD】吗？不是【- LGD × PD】吗？
NO.PZ202112010200001903问题如下 Whibonrating category offers the highest expecteexcess returnif sprea rise 10% across all ratings categories? A.A rateboncategoryB.BrateboncategoryC.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: 看到助教-t*LGPO请论证，谢谢
NO.PZ202112010200001903 问题如下 Whibonrating category offers the highest expecteexcess returnif sprea rise 10% across all ratings categories? A.A rateboncategory B.Brateboncategory C.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: 请问current rate为何是0？以及答案中excess sprea什么？怎么计算出来的？
NO.PZ202112010200001903问题如下 investor is facewith active portfolio cisionacross three bonrating categories baseon the following current marketinformation: Whibonrating category offers the highest expecteexcess returnif sprea instantaneously rise 10% across all ratings categories? A.A rateboncategoryB.BrateboncategoryC.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: instantaneously 的变化计算时候还加 sprea？你再好好看看答案计算过程，服了
NO.PZ202112010200001903 问题如下 investor is facewith active portfolio cisionacross three bonrating categories baseon the following current marketinformation: Whibonrating category offers the highest expecteexcess returnif sprea instantaneously rise 10% across all ratings categories? A.A rateboncategory B.Brateboncategory C.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: 老师好，想问个细节。在这个问答中【https://class.pzacamy.com/qa/149512 】，EXR公式最后一项是【+( LGP】吗？是不是写错了？
