NO.PZ2024030508000017
问题如下：
A risk manager on the corporate bond desk at an investment company is explaining the important metrics used to measure and manage the risks of bonds to a group of newly hired analysts. The manager describes the concepts of recovery rates and default rates. Which of the following statements is correct for the manager to make?
选项：
A.Recovery rates follow lognormal distribution with a single mode, shaped by differences in the seniority levels among bonds from the same issuer. B.The issuer default rate relates the number of bonds that a specific issuer has defaulted on to the total number of bonds outstanding from this issuer. C.Recovery rates used in financial analysis are typically calculated as the post-liquidation amount of principal retained by issuers. D.The dollar default rate uses par values to measure the value of bonds that have defaulted as a percentage of the total value of outstanding bonds.解释：
Explanation: D is correct. The dollar default rate is given by the total par value of bonds that have defaulted in a given year divided by the total par value of all outstanding bonds.
A is incorrect. The distribution of recovery rates is bimodal. The bimodal distribution of recovery rates arises due to the different seniority levels among bonds.
B is incorrect. The issuer default rate measures the number of defaults in the market divided by the total number of issues outstanding. This is not related to any specific issuer.
C is incorrect. Because it is difficult to track the value of what is eventually received by claimants in the event of a default, the recovery rate is calculated as the value of the bond a few days after default as a percentage of its par value.
Learning Objective: Define recovery rate and default rate, and differentiate between an issue default rate and a dollar default rate.
Reference: Global Association of Risk Professionals, Financial Markets and Products (New York, NY: Pearson, 2023). Chapter 17. Corporate Bonds
C没看明白
