问题如下图：
选项：
A. 
B. 
C. 
解释：
答案不对吧，这是一个零息债权，期间没有利息和本金，违约不可能发生在期间，只有期末才可能发生违约，exposure只需要考虑期末就够了。
吴昊_品职助教 · 2019年04月09日
期间是没有本金和利息，但是期间也有可能违约，比方违约发生在第三年，那也就意味着期末的本金归还拿不到了。某一刻的exposure就是该时间的总头寸，换句话说我以第三年的exposure为例，就应该等于第四年的额现金流折现到第三年，1000/(1+3%)=970.87，以此类推第二年和第一年的exposure均可得到。
iloveueat · 2019年04月09日
第三年作为公司它怎么违约？没有公司会在离还钱还有一年之前就宣布我要违约吧，只有在本金到期日才知道公司是否违约。
吴昊_品职助教 · 2019年04月10日
公司发了四年期的债，公司经营到第三年就经营不下去了，第三年就宣布破产了，还如何在第四年按照约定归还本金呢？这不就是第三年就违约了嘛。
iloveueat · 2019年04月10日
对哦
NO.PZ201812310200000101 问题如下 The market priof bonis€875. The bonis: fairly value overvalue unrvalue B is correct. The following table shows ththe cret valuation austment (CVfor the bonis €36.49, the sum of the present values of expecteloss. The steps taken to complete the table are follows. Step 1: Exposure te T is 1000 (1+r) 4−T , where r is 3%. This, exposure is computescounting the favalue of the bonusing the risk-free rate anthe number of years until maturity. Step 2: Recovery = Exposure × Recovery rate Step 3: Loss given fault (LG = Exposure – Recovery Step 4: Probability of fault (PO on te 1 is 1.50%, the assumehazarrate. The probability of surviv(POS) on te 1 is 98.50%. For subsequent tes, POis calculatethe hazarrate multipliethe previous te’s POS. For example, to termine the te 2 PO(1.4775%), the hazarrate of (1.50%) is multipliethe te 1 POS (98.50%). Step 5: POS in tes 2–4 = POS in the previous ye– POD (This, POS in YeT= POS in ye[ T– 1] – POin YeT.) POS calso be terminesubtracting the hazarrate from 100% anraising it to the power of the number of years: (100% – 1.5000%)1 = 98.5000% (100% – 1.5000%)2 = 97.0225% (100% – 1.5000%)3 = 95.5672% (100% – 1.5000%)4 = 94.1337% Step 6: Expecteloss = LG× POD Step 7: scount factor () for te T is 1 (1+r) T , where r is 3%. Step 8: PV of expecteloss = Expecteloss × Value of the bonif the bonwere fault free woul1,000 × for te 4 = €888.49. Fair value of the bonconsiring CVA = €888.49 – CVA = €888.49 – €36.49 = €852.00. Because the market priof the bon(€875) is greater ththe fair value of €852, B is correct. A is incorrect because the market priof the bonffers from its fair value. C is incorrebecause although the bons value if the bonwere fault free is greater ththe market price, the bond ha risk of fault, anCVA lowers its fair value to below the market price. RT
NO.PZ201812310200000101 问题如下 The market priof bonis€875. The bonis: fairly value overvalue unrvalue B is correct. The following table shows ththe cret valuation austment (CVfor the bonis €36.49, the sum of the present values of expecteloss. The steps taken to complete the table are follows. Step 1: Exposure te T is 1000 (1+r) 4−T , where r is 3%. This, exposure is computescounting the favalue of the bonusing the risk-free rate anthe number of years until maturity. Step 2: Recovery = Exposure × Recovery rate Step 3: Loss given fault (LG = Exposure – Recovery Step 4: Probability of fault (PO on te 1 is 1.50%, the assumehazarrate. The probability of surviv(POS) on te 1 is 98.50%. For subsequent tes, POis calculatethe hazarrate multipliethe previous te’s POS. For example, to termine the te 2 PO(1.4775%), the hazarrate of (1.50%) is multipliethe te 1 POS (98.50%). Step 5: POS in tes 2–4 = POS in the previous ye– POD (This, POS in YeT= POS in ye[ T– 1] – POin YeT.) POS calso be terminesubtracting the hazarrate from 100% anraising it to the power of the number of years: (100% – 1.5000%)1 = 98.5000% (100% – 1.5000%)2 = 97.0225% (100% – 1.5000%)3 = 95.5672% (100% – 1.5000%)4 = 94.1337% Step 6: Expecteloss = LG× POD Step 7: scount factor () for te T is 1 (1+r) T , where r is 3%. Step 8: PV of expecteloss = Expecteloss × Value of the bonif the bonwere fault free woul1,000 × for te 4 = €888.49. Fair value of the bonconsiring CVA = €888.49 – CVA = €888.49 – €36.49 = €852.00. Because the market priof the bon(€875) is greater ththe fair value of €852, B is correct. A is incorrect because the market priof the bonffers from its fair value. C is incorrebecause although the bons value if the bonwere fault free is greater ththe market price, the bond ha risk of fault, anCVA lowers its fair value to below the market price. 如题
NO.PZ201812310200000101问题如下 The market priof bonis€875. The bonis: fairly value overvalue unrvalue B is correct. The following table shows ththe cret valuation austment (CVfor the bonis €36.49, the sum of the present values of expecteloss. The steps taken to complete the table are follows. Step 1: Exposure te T is 1000 (1+r) 4−T , where r is 3%. This, exposure is computescounting the favalue of the bonusing the risk-free rate anthe number of years until maturity. Step 2: Recovery = Exposure × Recovery rate Step 3: Loss given fault (LG = Exposure – Recovery Step 4: Probability of fault (PO on te 1 is 1.50%, the assumehazarrate. The probability of surviv(POS) on te 1 is 98.50%. For subsequent tes, POis calculatethe hazarrate multipliethe previous te’s POS. For example, to termine the te 2 PO(1.4775%), the hazarrate of (1.50%) is multipliethe te 1 POS (98.50%). Step 5: POS in tes 2–4 = POS in the previous ye– POD (This, POS in YeT= POS in ye[ T– 1] – POin YeT.) POS calso be terminesubtracting the hazarrate from 100% anraising it to the power of the number of years: (100% – 1.5000%)1 = 98.5000% (100% – 1.5000%)2 = 97.0225% (100% – 1.5000%)3 = 95.5672% (100% – 1.5000%)4 = 94.1337% Step 6: Expecteloss = LG× POD Step 7: scount factor () for te T is 1 (1+r) T , where r is 3%. Step 8: PV of expecteloss = Expecteloss × Value of the bonif the bonwere fault free woul1,000 × for te 4 = €888.49. Fair value of the bonconsiring CVA = €888.49 – CVA = €888.49 – €36.49 = €852.00. Because the market priof the bon(€875) is greater ththe fair value of €852, B is correct. A is incorrect because the market priof the bonffers from its fair value. C is incorrebecause although the bons value if the bonwere fault free is greater ththe market price, the bond ha risk of fault, anCVA lowers its fair value to below the market price. 为什么不用下面二叉树利率折线呢
NO.PZ201812310200000101 问题如下 The market priof bonis€875. The bonis: fairly value overvalue unrvalue B is correct. The following table shows ththe cret valuation austment (CVfor the bonis €36.49, the sum of the present values of expecteloss. The steps taken to complete the table are follows. Step 1: Exposure te T is 1000 (1+r) 4−T , where r is 3%. This, exposure is computescounting the favalue of the bonusing the risk-free rate anthe number of years until maturity. Step 2: Recovery = Exposure × Recovery rate Step 3: Loss given fault (LG = Exposure – Recovery Step 4: Probability of fault (PO on te 1 is 1.50%, the assumehazarrate. The probability of surviv(POS) on te 1 is 98.50%. For subsequent tes, POis calculatethe hazarrate multipliethe previous te’s POS. For example, to termine the te 2 PO(1.4775%), the hazarrate of (1.50%) is multipliethe te 1 POS (98.50%). Step 5: POS in tes 2–4 = POS in the previous ye– POD (This, POS in YeT= POS in ye[ T– 1] – POin YeT.) POS calso be terminesubtracting the hazarrate from 100% anraising it to the power of the number of years: (100% – 1.5000%)1 = 98.5000% (100% – 1.5000%)2 = 97.0225% (100% – 1.5000%)3 = 95.5672% (100% – 1.5000%)4 = 94.1337% Step 6: Expecteloss = LG× POD Step 7: scount factor () for te T is 1 (1+r) T , where r is 3%. Step 8: PV of expecteloss = Expecteloss × Value of the bonif the bonwere fault free woul1,000 × for te 4 = €888.49. Fair value of the bonconsiring CVA = €888.49 – CVA = €888.49 – €36.49 = €852.00. Because the market priof the bon(€875) is greater ththe fair value of €852, B is correct. A is incorrect because the market priof the bonffers from its fair value. C is incorrebecause although the bons value if the bonwere fault free is greater ththe market price, the bond ha risk of fault, anCVA lowers its fair value to below the market price. 是因为利率没有波动才用的无风险收益吗？如果利率有波动就要用表格里的？
NO.PZ201812310200000101 问题如下 The market priof bonis€875. The bonis: fairly value overvalue unrvalue B is correct. The following table shows ththe cret valuation austment (CVfor the bonis €36.49, the sum of the present values of expecteloss. The steps taken to complete the table are follows. Step 1: Exposure te T is 1000 (1+r) 4−T , where r is 3%. This, exposure is computescounting the favalue of the bonusing the risk-free rate anthe number of years until maturity. Step 2: Recovery = Exposure × Recovery rate Step 3: Loss given fault (LG = Exposure – Recovery Step 4: Probability of fault (PO on te 1 is 1.50%, the assumehazarrate. The probability of surviv(POS) on te 1 is 98.50%. For subsequent tes, POis calculatethe hazarrate multipliethe previous te’s POS. For example, to termine the te 2 PO(1.4775%), the hazarrate of (1.50%) is multipliethe te 1 POS (98.50%). Step 5: POS in tes 2–4 = POS in the previous ye– POD (This, POS in YeT= POS in ye[ T– 1] – POin YeT.) POS calso be terminesubtracting the hazarrate from 100% anraising it to the power of the number of years: (100% – 1.5000%)1 = 98.5000% (100% – 1.5000%)2 = 97.0225% (100% – 1.5000%)3 = 95.5672% (100% – 1.5000%)4 = 94.1337% Step 6: Expecteloss = LG× POD Step 7: scount factor () for te T is 1 (1+r) T , where r is 3%. Step 8: PV of expecteloss = Expecteloss × Value of the bonif the bonwere fault free woul1,000 × for te 4 = €888.49. Fair value of the bonconsiring CVA = €888.49 – CVA = €888.49 – €36.49 = €852.00. Because the market priof the bon(€875) is greater ththe fair value of €852, B is correct. A is incorrect because the market priof the bonffers from its fair value. C is incorrebecause although the bons value if the bonwere fault free is greater ththe market price, the bond ha risk of fault, anCVA lowers its fair value to below the market price. bon的hazarrate是1.5%。而bon本身是个零息债券，其他时刻没有现金流。因此我认为只有在4年到期的时候才会违约，那么我们按违约概率1.5%，即0.985的不违约概率代入有什么问题呢？题目为什么用 0.985^4算不违约概率呢？