Cara · 2025年01月30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
B.
BBB rated bond category
C.
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:
请问有计算的过程吗？
发亮_品职助教 · 2025年01月31日
应用的公式是：
EXR = spread0 - spread duration × △spread - LGD×PD
以债券A为例，其他的债券计算同理。
第一项的spread0 = 1%，题目没有说投资期，那么就默认投资期t=1年，所以spread0不用去年化处理，直接代入年化数据1%
下面找△spread
因为题目说spread上升10%，这是指在原有spread0的基础上，上升10%，所以spread的上升幅度为：1%×10%=0.1%
这就是△spread = +0.1%
债券A的spread duration = 7
所以第二项：spread duration×△spread = 7×0.1%=0.7%
LGD×PD题目直接给了计算结果，就是表格里面的expected loss=0.10%
代入数据为：
EXR = 1% - 7×0.1% - 0.10% = 0.20%
其他债券的计算也是同理，就是找到对应的数据代入公式。
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