坚持努力 · 2025年01月03日
* 问题详情，请 查看题干
NO.PZ202112010200001903
问题如下：
Which bond rating category offers the highest expected excess return if spreads rise 10% across all ratings categories?
选项：
A.A rated bond category
BBB rated bond category
BB rated bond category
解释：
A is correct. If spreads rise 10% across all ratings categories, we can use
E[ExcessSpread] ≈ Spread0 –(EffSpreadDur × ΔSpread) – (POD × LGD) to solve
for expected excess spread as follows:
spreads rise 10% 这里是*1.1，之前一题是+0.1
怎么判断
发亮_品职助教 · 2025年01月04日
绝大多数情况都是加法，如初始利率是3%，题目说利率上升0.5%（increase），那么期末利率应该是：3%+0.5%
基本上没有出现过乘法的情况。
这道题的题目描述有一点问题。这道题只能从初始的数据上判断，初始数据OAS是1%, 1.75%, 2.75%，初始的利率都很小。
所以，如果spread rise 10%理解成在此基础上加上10%的上升，那么期末的OAS将会变得非常大。如会变成11%，11.75%，12.75%
这显然不太常规。
所以这道题的spread rise 10%，要理解成在原有基础上增加10%，即，1%×（1+10%），这样期末的数据仍然是同量级的数据，不会有很突兀的改变。
考题的措辞会很规范。如果像这道题很难判断，建议就用利率的改变程度来理解，一般而言，利率很少出现增加10%这么庞大的数据（利率加10%），所以当题目说rise 10%，要理解成在原有基础上乘以（1+10%）。
如果题目说，利率增加0.20%，这种基本上就是用加法。因为这是常规的利率上涨、下跌程度。
NO.PZ202112010200001903问题如下 Whibonrating category offers the highest expecteexcess returnif sprea rise 10% across all ratings categories? A.A rateboncategoryB.BrateboncategoryC.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: 看到助教-t*LGPO请论证，谢谢
NO.PZ202112010200001903 问题如下 Whibonrating category offers the highest expecteexcess returnif sprea rise 10% across all ratings categories? A.A rateboncategory B.Brateboncategory C.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: 请问current rate为何是0？以及答案中excess sprea什么？怎么计算出来的？
NO.PZ202112010200001903问题如下 investor is facewith active portfolio cisionacross three bonrating categories baseon the following current marketinformation: Whibonrating category offers the highest expecteexcess returnif sprea instantaneously rise 10% across all ratings categories? A.A rateboncategoryB.BrateboncategoryC.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: instantaneously 的变化计算时候还加 sprea？你再好好看看答案计算过程，服了
NO.PZ202112010200001903 问题如下 investor is facewith active portfolio cisionacross three bonrating categories baseon the following current marketinformation: Whibonrating category offers the highest expecteexcess returnif sprea instantaneously rise 10% across all ratings categories? A.A rateboncategory B.Brateboncategory C.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: 老师好，想问个细节。在这个问答中【https://class.pzacamy.com/qa/149512 】，EXR公式最后一项是【+( LGP】吗？是不是写错了？
