Shawnxz · 2024年05月04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 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:
请问current rate为何是0？以及答案中excess spread是什么？怎么计算出来的？
pzqa31 · 2024年05月06日
嗨，从没放弃的小努力你好：
这道题虽然答案是A，但是解题过程是错误的。正确的结题过程如下：
EXR of A:0-0.1%*7-0.1%=-0.8%
EXR of BBB:0-0.175%*6-0.75%=-1.8%
EXR of BB:0-0.275%*5-2.5%=-3.88%
另外，这道题少了一个条件 instantaneously ，遇到这个词，第一项spread就乘以t=0，第三项LGD*PD不乘0了，LGD*PD是多少就是多少，这点课后题就是这么做的。
所以，如果是Instan，Excess spread这么算：
EXR = Spread 0 × 0 - spread duration × △ Spread - LGD × PD
可以参考这个解析，这里的题干是正确的https://class.pzacademy.com/qa/94728
----------------------------------------------虽然现在很辛苦，但努力过的感觉真的很好，加油！
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