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狄虓 · 2024年05月14日

没太看懂这个解析感觉乱乱的

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2024050101000056

问题如下：

Pinzhi’ s 5-year, 5.7% coupon bond is rated AA. The annual CDS spread on a 5- year bond is 3.5%. The swap spread is flat at 25 bps, while the swap fixed rate is 3% for 2 years and 4% for 5 years. To prevent arbitrage, Pinzhi’ s bond should most likely yield:

选项：

A.

9.20%

B.

9.70%

C.

7.50%

D.

9.00%

解释：

Arbitrage-free conditions indicate that: CDS-bond basis = CDS spread – bond yield spread = 0

Thus, CDS spread = bond yield spread = 3.5% (given). Bond yield spread = bond yield – swap fixed rate 3.5% = bond yield – 4% (make sure to use the 5-year swap fixed rate) Therefore, the bond yield = 9.2%

如题

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2 个答案

pzqa27 · 2024年05月17日

嗨，爱思考的PZer你好：


哦，那里是有些问题，我会修正下的。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

pzqa27 · 2024年05月14日

嗨，从没放弃的小努力你好：


这个题只是条件多，用的数据很简单。基本原理就是CDS spread= bond yield spread=3.5%

那么bond yield spread= bond yield -swap rate,而swap rate=4%，所以bond yield 就是7.5%


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

ww · 2024年05月16日

解析说bond yield = 9.2%？

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NO.PZ2024050101000056 问题如下 Pinzhi’ s 5-year, 5.7% coupon bonis rateAThe annuC spreon a 5- yebonis 3.5%. The swspreis fl25 bps, while the swfixerate is 3% for 2 years an4% for 5 years. To prevent arbitrage, Pinzhi’ s bonshoulmost likely yiel A.9.20% B.9.70% C.7.50% 9.00% Arbitrage-free contions incate that: C-bonbasis = C spre– bonyielspre= 0Thus, C spre= bonyielspre= 3.5% (given). Bonyielspre= bonyiel– swfixerate 3.5% = bonyiel– 4% (make sure to use the 5-yeswfixerate) Therefore, the bonyiel= 7.5% 基本原理就是C sprea bonyielsprea3.5%

2024-10-01 21:48 1 · 回答

NO.PZ2024050101000056 问题如下 Pinzhi’ s 5-year, 5.7% coupon bonis rateAThe annuC spreon a 5- yebonis 3.5%. The swspreis fl25 bps, while the swfixerate is 3% for 2 years an4% for 5 years. To prevent arbitrage, Pinzhi’ s bonshoulmost likely yiel A.9.20% B.9.70% C.7.50% 9.00% Arbitrage-free contions incate that: C-bonbasis = C spre– bonyielspre= 0Thus, C spre= bonyielspre= 3.5% (given). Bonyielspre= bonyiel– swfixerate 3.5% = bonyiel– 4% (make sure to use the 5-yeswfixerate) Therefore, the bonyiel= 7.5% 能否画个简单的箭头，指明一下到底求什么？怎么算的？

2024-07-25 22:33 1 · 回答