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程卤蛋蛋 · 2024年12月08日

请问什么时候最后一项违约损失可以默认为0?

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200001902

问题如下：

Which active bond portfolio maximizes expected excess return under a stable credit market assumption versus an equally weighted benchmark portfolio across the three rating categories?

选项：

A.

50% A rated bonds, 50% BBB rated bonds

B.

50% BBB rated bonds, 50% BB rated bonds

C.

50% A rated bonds, 50% B rated bonds

解释：

A is correct. E[ExcessSpread] from Question 15 is 0.90%, 1.00%, and 0.25% for the A-, BBB-, and B rated categories, respectively.

The excess spread of the 50% A rated and 50% BBB rated portfolio is 0.95% (=(0.9% + 1.00%/2) versus the equally weighted portfolio expected excess return of 0.7167% (=(0.90% + 1.00% + 0.25%)/3) for a positive active return of 0.233%, while B and C return less than the equally weighted benchmark.

老师，我看到了stable credit market assumption,以为是默认违约事件不会发生，所以选了B.

请问题目中何种表述时候，最后一项违约损失可以默认为0？比如说“经济向好”等，可以这么默认吗？

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