NO.PZ2022122601000068
问题如下：
One year later, Young meets with his firm’s fixed income portfolio manager, Bianca Dvorak. Dvorak manages a domestic bond fund for the firm and is considering whether to purchase a 5-year callable, BBB-rated corporate bond for the fund. The corporate bond currently yields 4.90%.
Dvorak wants to use the risk premium approach to decide whether to purchase the bond for her fund. The trailing 12-month inflation rate is 1.10% and Young expects inflation to be constant at 1.50% per year for the next five years. Dvorak assumes that the illiquidity discount and tax premium are both zero. Dvorak and Young compile the information in Exhibit 3.
Determine, based on the risk premium approach, whether Dvorak should purchase the corporate bond. Justify your response. Show your calculations.
选项：
解释：
Correct Answer:
Dvorak should not purchase the bond.
Dvorak must compare the market yield on the bond (4.90%) with the required yield determined by the sum of the applicable risk premiums. This required yield is calculated as:
Required yield = Real risk-free interest rate + Inflation premium + Default risk premium + Maturity premium + Call risk premium = 1.30% + 1.50% + 0.80% + 1.00% + 0.60% = 5.20%
Default risk premium is the 5-year BBB-rated credit risk spread over Treasuries
Call risk premium is the 5-year call risk premium.
The bond should not be purchased because the market yield of 4.90% does not fully compensate for the risks embedded in the bond.
中文解析：
德沃夏克不应该购买债券。
Dvorak必须将债券的市场收益率(4.90%)与由适用风险溢价之和确定的所需收益率进行比较。所需的产量计算如下:
要求收益率=实际无风险利率+通胀溢价+违约风险溢价+到期溢价+认购风险溢价= 1.30% + 1.50% + 0.80% + 1.00% + 0.60% = 5.20%
违约风险溢价是5年期bbb级信用风险对美国国债的利差
买入风险溢价是指5年期买入风险溢价。
该债券不应购买，因为4.90%的市场收益率并不能完全补偿债券所包含的风险。
he expected return of 5-year callable, BBB-rated corporate bond=real risk-free interest rate+expected inflation rate+spread risk spread+credit risk+call risk spread=1.3%+1.5%+1+0.8%+0.6%=5.2%
which is higher than the currently yield 4.9%, which means the price of 5-year callable, BBB-rated corporate bond will decline.
so Dvorak should not purchase the corporate bond.
