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学习王 · 2024年05月20日

不理解

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000012

问题如下：

Which of the following outcomes is most likely if the junior analyst revises the bond’s original recovery rate higher?

选项：

A.

An increase in the bond’s POD

B.

A decrease in the bond’s POD

C.

A decrease in the bond’s credit spread

解释：

C is correct. An increase in a bond’s recovery rate will lower the loss severity, or LGD, because LGD = (1 – RR).

Recall the simple one-period relationship between credit spreads, LGD, and the POD as Spread ≈ LGD × POD. A lower LGD will result in a lower spread.

spread不是在市场上观察到的吗

通过spread和LGD求POD

这题怎么顺序是已知LGD和POD求spread》？？？？

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1 个答案

pzqa31 · 2024年05月20日

嗨，努力学习的PZer你好：


你可以理解为这个是在事前预测一下未来的信用利差，这里的POD和LGD也是估计的。

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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！

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