NO.PZ2019011002000003
问题如下:
Tim, a credit analyst, is valuing bond C. Bond C is rated at AA. Bond C is a 5-year corporate bond with a par value of $1000. The bond has a fixed annual coupon rate of 6%, and the coupon is paid annually.
Tim believes that the risk-neutral probability of default (Hazard rate) for each date for the bond is 1.50%, and the recovery rate is 25%. Assume there is no interest rate volatility and the government bond yield curve is flat at 2%.
The market price of Bond C is $1087. If the bond is purchased at this price, and there is a default on Date 4, the rate of return to the bond buyer is closest to:
选项:
A.
-15%
B.
-46%
C.
-23%
解释:
C is correct.
考点:计算违约情况下债券的Return
解析:
该5年期债券,在第四年违约,计算投资者收益率可以通过计算IRR得到。
由于在第四年违约,第四年的现金流为第四年的Recovery value;
计算第四期的Recovery value,需要计算出第四期的Exposure,计算步骤和上题一致;有了第四期的Exposure乘以Recovery rate之后,可以得到本期的Recovery value。本题数据和上题一致,可从上题表格知,计算出来的Recovery value为:274.805
该债券在第四期违约,前三期的Coupon仍然可以拿到,因此IRR为:
在计算exposure的时候,是1060/(1+2%)+60,这个里面已经考虑了60了。在这个基础上再1099.22*25%=274.8050,即是等同于(1060/(1+2%))*25%+60*25%。
这个时候再计算IRR的时候,又从中间减去60,这个减的60是代表什么含义呢?
第四年的PMT,在计算的时候已经考虑了且*25%的RR了,这个地方再减出来一个60不太理解。莫非只是为了摁计算机方便?