NO.PZ2023040701000095
问题如下：
Ibarra is presently analyzing a bond that has the following characteristics.
B3: A fixed annual coupon rate of 6% paid annually, four-year corporate bond with a par value of €1,000. The bond is rated AA.
Bond B3 will have a modified duration of 2.75 at the end of the year. Based on the representative one-year corporate transition matrix in the following Exhibit and assuming no default, how should the analyst adjust the bond’s yield to maturity (YTM) to assess the expected return on the bond over the next year?
选项：
A.Add 7.7 bps to YTM.
Subtract 7.7 bps from YTM.
Subtract 9.0 bps from YTM.
解释：
Correct Answer: B
For each possible transition, the expected percentage price change, computed as the product of the modified duration and the change in the spread as per Exhibit, is calculated as follows:
From AA to AAA: –2.75 × (0.60% – 0.90%) = +0.83%
From AA to A: –2.75 × (1.10% – 0.90%) = –0.55%
From AA to BBB: –2.75 × (1.50% – 0.90%) = –1.65%
From AA to BB: –2.75 × (3.40% – 0.90%) = –6.88%
From AA to B: –2.75 × (6.50% – 0.90%) = –15.40%
From AA to C: –2.75 × (9.50% – 0.90%) = –23.65%
The expected percentage change in the value of the AA rated bond is computed by multiplying each expected percentage price change for a possible credit transition by its respective transition probability given in Exhibit 7 of the reading, and summing the products:
(0.0150 × 0.83%) + (0.8800 × 0%) + (0.0950 × –0.55%) + (0.0075 × –1.65%) + (0.0015 × –6.88%)+ (0.0005 × –15.40%) + (0.0003 × –23.65%)= –0.0774%.
Therefore, the expected return on the bond over the next year is its YTM minus 0.0774%, assuming no default.
有一点不理解，这题先用久期乘以credit spread，得到价格的百分比变动，然后用每个价格百分比变动乘以各自评级迁移的概率，那么最后得到的应该是价格变动的百分比呀，因此一个是价格的变动率，YTM是收益率的概念，为什么这个价格的变动率可以直接从收益率---YTM里扣减掉？
