问题如下图：
选项：
A. 
B. 
C. 
解释：
算出价格下降，ytm不应该是加回么为什么还要扣除?如果扣除，价格岂不是升高的？
吴昊_品职助教 · 2019年03月18日
这道题要我们算的是下一年的预期收益率，预期收益率和新的YTM没有关系。比方我们在期初购买债券会有一个YTM，这个YTM就是我们预期的持有至到期的每年的收益。持有至下一年，假设没有任何变化，下一年的预期收益率也是YTM。现在我们考虑到了转移矩阵，考虑债券评级变化之后的影响，债券的价格会下降0.0774%，以这个预期收益率YTM为基准的情况下，要扣减掉0.0774%的债券价格下降预期。因为题干说从YTM的基础上预测下年的预期收益，所以这个算出来是正数就加到期初YTM上，是负数就从期初的YTM上扣减掉。而(YTM-0.0774%)就是考虑了信用转移矩阵后，投资者持有至下一年的预期收益。如债券价格下降0.0774%后，会有一个新的债券价格，会有一个新的YTM。这个新的YTM是债券价格变动之后的YTM，和上面算的经历价格变动实现的收益不同。
NO.PZ201812310200000105问题如下Bonwill have a mofieration of 2.75 the enof the year. Baseon the representative one-yecorporate transition matrix in Exhibit 7 of the reang anassuming no fault, how shoulthe analyst aust the bons yielto maturity (YTM) to assess the expectereturn on the bonover the next year?A 7.7 bps to YTM. Subtra7.7 bps from YTM. Subtra9.0 bps from YTM. B is correct. For eapossible transition, the expectepercentage prichange, computeas the proof the mofieration anthe change in the spreper Exhibit 7 of the reang, is calculateas follows: From to AAA: –2.75 × (0.60% – 0.90%) = +0.83% From to –2.75 × (1.10% – 0.90%) = –0.55% From to BBB: –2.75 × (1.50% – 0.90%) = –1.65% From to B–2.75 × (3.40% – 0.90%) = –6.88% From to –2.75 × (6.50% – 0.90%) = –15.40% From to –2.75 × (9.50% – 0.90%) = –23.65% The expected percentage change in the value of the ratebonis computemultiplying eaexpectepercentage prichange for a possible cret transition its respective transition probability given in Exhibit 7 of the reang, ansumming the procts: (0.0150 × 0.83%) + (0.8800 × 0%) + (0.0950 × –0.55%) + (0.0075 × –1.65%) + (0.0015 × –6.88%) + (0.0005 × –15.40%) + (0.0003 × –23.65%)= –0.0774%. Therefore, the expectereturn on the bonover the next yeis its YTM minus 0.0774%, assuming no fault. 可答案以bona 作为初始sprea 难道ration 对于不同评级的债券都是一样的？
NO.PZ201812310200000105 Subtra7.7 bps from YTM. Subtra9.0 bps from YTM. B is correct. For eapossible transition, the expectepercentage prichange, computethe proof the mofieration anthe change in the spreper Exhibit 7 of the reang, is calculatefollows: From to AA–2.75 × (0.60% – 0.90%) = +0.83% From to –2.75 × (1.10% – 0.90%) = –0.55% From to BB–2.75 × (1.50% – 0.90%) = –1.65% From to B–2.75 × (3.40% – 0.90%) = –6.88% From to –2.75 × (6.50% – 0.90%) = –15.40% From to –2.75 × (9.50% – 0.90%) = –23.65% The expectepercentage change in the value of the ratebonis computemultiplying eaexpectepercentage prichange for a possible cret transition its respective transition probability given in Exhibit 7 of the reang, ansumming the procts: (0.0150 × 0.83%) + (0.8800 × 0%) + (0.0950 × –0.55%) + (0.0075 × –1.65%) + (0.0015 × –6.88%) + (0.0005 × –15.40%) + (0.0003 × –23.65%)= –0.0774%. Therefore, the expectereturn on the bonover the next yeis its YTM minus 0.0774%, assuming no fault. 我理解算出来的答案是expectereturn of prichange，但它和调整YTM有什么关系？我转不过来了…
NO.PZ201812310200000105 Subtra7.7 bps from YTM. Subtra9.0 bps from YTM. B is correct. For eapossible transition, the expectepercentage prichange, computethe proof the mofieration anthe change in the spreper Exhibit 7 of the reang, is calculatefollows: From to AA–2.75 × (0.60% – 0.90%) = +0.83% From to –2.75 × (1.10% – 0.90%) = –0.55% From to BB–2.75 × (1.50% – 0.90%) = –1.65% From to B–2.75 × (3.40% – 0.90%) = –6.88% From to –2.75 × (6.50% – 0.90%) = –15.40% From to –2.75 × (9.50% – 0.90%) = –23.65% The expectepercentage change in the value of the ratebonis computemultiplying eaexpectepercentage prichange for a possible cret transition its respective transition probability given in Exhibit 7 of the reang, ansumming the procts: (0.0150 × 0.83%) + (0.8800 × 0%) + (0.0950 × –0.55%) + (0.0075 × –1.65%) + (0.0015 × –6.88%) + (0.0005 × –15.40%) + (0.0003 × –23.65%)= –0.0774%. Therefore, the expectereturn on the bonover the next yeis its YTM minus 0.0774%, assuming no fault. 0.015 0.095 0.0075……是怎么来的呢
问一道题：NO.PZ201812310200000105
问一道题：NO.PZ201812310200000105