问一道题：NO.PZ2019011002000004 [ 2019.06 CFA II ]

NO.PZ2019011002000004 问题如下 BonC is a 5-yecorporate bonrateAThe table below shows the probabilities of a particulrating transitioning to another over the course of the following year.BonC will have a mofieration of 3.22 the enof the year. Accorng to the information above anassuming no fault, how shoulthe analyst aust the bons yielto maturity (YTM) to assess the expectereturn on the bonover the next year? A.A 0.091% to YTM B.Subtra0.091% from YTM C.Subtra0.120% from YTM B is correct解析考点考察对Transition matrixes的理解和使用表格最后一行显示了每一个评级下的Cret sprea由题干信息已知债券的Mofieration为3.22；则从AA变动为AAA，债券价格的变动为-3.22×(0.60%-0.90%）=0.9660%从AA变动为A，债券价格的变动为-3.22×（1.10%-0.90%）=-0.6440%从AA变动为BBB，债券价格的变动为-3.22×（1.50%-0.90%）=-1.9320%从AA变动为BB，债券价格的变动为-3.22×（3.40%-0.90%）=-8.050%从AA变动为B，债券价格的变动为-3.22×（6.50%-0.90%）=-18.0320%从AA变动为CCC,CC,C，债券价格的变动为-3.22×（9.50%-0.90%）=-27.69%题干中的表格给出了AA级向每一个级别变动的概率，因此我们可以用概率乘以对应的债券价格变动0.015×0.966%+0.8800×0%+0.0950×(-0.644%)+0.0075×(-1.9320%)+0.0015×(-8.050%)+0.0005×(-18.0320%)+0.0003×(-27.69%)=-0.091%则假设在没有违约的情况下，下一年的预期收益为YTM减去0.091%。 按图表中概率计算（先不考虑久期），债券是预期会调降评级，收益率因此需要增加，为何答案选择是减去0.00906%？

NO.PZ2019011002000004 问题如下 BonC is a 5-yecorporate bonrateAThe table below shows the probabilities of a particulrating transitioning to another over the course of the following year.BonC will have a mofieration of 3.22 the enof the year. Accorng to the information above anassuming no fault, how shoulthe analyst aust the bons yielto maturity (YTM) to assess the expectereturn on the bonover the next year? A.A 0.091% to YTM B.Subtra0.091% from YTM C.Subtra0.120% from YTM B is correct解析考点考察对Transition matrixes的理解和使用表格最后一行显示了每一个评级下的Cret sprea由题干信息已知债券的Mofieration为3.22；则从AA变动为AAA，债券价格的变动为-3.22×(0.60%-0.90%）=0.9660%从AA变动为A，债券价格的变动为-3.22×（1.10%-0.90%）=-0.6440%从AA变动为BBB，债券价格的变动为-3.22×（1.50%-0.90%）=-1.9320%从AA变动为BB，债券价格的变动为-3.22×（3.40%-0.90%）=-8.050%从AA变动为B，债券价格的变动为-3.22×（6.50%-0.90%）=-18.0320%从AA变动为CCC,CC,C，债券价格的变动为-3.22×（9.50%-0.90%）=-27.69%题干中的表格给出了AA级向每一个级别变动的概率，因此我们可以用概率乘以对应的债券价格变动0.015×0.966%+0.8800×0%+0.0950×(-0.644%)+0.0075×(-1.9320%)+0.0015×(-8.050%)+0.0005×(-18.0320%)+0.0003×(-27.69%)=-0.091%则假设在没有违约的情况下，下一年的预期收益为YTM减去0.091%。 则从AA变动为AAA

NO.PZ2019011002000004 问题如下 BonC is a 5-yecorporate bonrateAThe table below shows the probabilities of a particulrating transitioning to another over the course of the following year.BonC will have a mofieration of 3.22 the enof the year. Accorng to the information above anassuming no fault, how shoulthe analyst aust the bons yielto maturity (YTM) to assess the expectereturn on the bonover the next year? A.A 0.091% to YTM B.Subtra0.091% from YTM C.Subtra0.120% from YTM B is correct解析考点考察对Transition matrixes的理解和使用表格最后一行显示了每一个评级下的Cret sprea由题干信息已知债券的Mofieration为3.22；则从AA变动为AAA，债券价格的变动为-3.22×(0.60%-0.90%）=0.9660%从AA变动为A，债券价格的变动为-3.22×（1.10%-0.90%）=-0.6440%从AA变动为BBB，债券价格的变动为-3.22×（1.50%-0.90%）=-1.9320%从AA变动为BB，债券价格的变动为-3.22×（3.40%-0.90%）=-8.050%从AA变动为B，债券价格的变动为-3.22×（6.50%-0.90%）=-18.0320%从AA变动为CCC,CC,C，债券价格的变动为-3.22×（9.50%-0.90%）=-27.69%题干中的表格给出了AA级向每一个级别变动的概率，因此我们可以用概率乘以对应的债券价格变动0.015×0.966%+0.8800×0%+0.0950×(-0.644%)+0.0075×(-1.9320%)+0.0015×(-8.050%)+0.0005×(-18.0320%)+0.0003×(-27.69%)=-0.091%则假设在没有违约的情况下，下一年的预期收益为YTM减去0.091%。 评级上升带来的Cret Sprea降程度要比评级下降带来的Cret Sprea升程度要小，又因为ration公式前面有负号，所以一般YTM都是减小？

NO.PZ2019011002000004 问题如下 BonC is a 5-yecorporate bonrateAThe table below shows the probabilities of a particulrating transitioning to another over the course of the following year.BonC will have a mofieration of 3.22 the enof the year. Accorng to the information above anassuming no fault, how shoulthe analyst aust the bons yielto maturity (YTM) to assess the expectereturn on the bonover the next year? A.A 0.091% to YTM B.Subtra0.091% from YTM C.Subtra0.120% from YTM B is correct解析考点考察对Transition matrixes的理解和使用表格最后一行显示了每一个评级下的Cret sprea由题干信息已知债券的Mofieration为3.22；则从AA变动为AAA，债券价格的变动为-3.22×(0.60%-0.90%）=0.9660%从AA变动为A，债券价格的变动为-3.22×（1.10%-0.90%）=-0.6440%从AA变动为BBB，债券价格的变动为-3.22×（1.50%-0.90%）=-1.9320%从AA变动为BB，债券价格的变动为-3.22×（3.40%-0.90%）=-8.050%从AA变动为B，债券价格的变动为-3.22×（6.50%-0.90%）=-18.0320%从AA变动为CCC,CC,C，债券价格的变动为-3.22×（9.50%-0.90%）=-27.69%题干中的表格给出了AA级向每一个级别变动的概率，因此我们可以用概率乘以对应的债券价格变动0.015×0.966%+0.8800×0%+0.0950×(-0.644%)+0.0075×(-1.9320%)+0.0015×(-8.050%)+0.0005×(-18.0320%)+0.0003×(-27.69%)=-0.091%则假设在没有违约的情况下，下一年的预期收益为YTM减去0.091%。 则从AA变动为AAA，债券价格的变动为-3.22×(0.60%-0.90%）=0.9660%久期为什么用复数，还有就是变动以后为什么是用(0.60%减去0.90%，直接用0.90%减去0.6%不行吗？

NO.PZ2019011002000004 问题如下 BonC is a 5-yecorporate bonrateAThe table below shows the probabilities of a particulrating transitioning to another over the course of the following year.BonC will have a mofieration of 3.22 the enof the year. Accorng to the information above anassuming no fault, how shoulthe analyst aust the bons yielto maturity (YTM) to assess the expectereturn on the bonover the next year? A.A 0.091% to YTM B.Subtra0.091% from YTM C.Subtra0.120% from YTM B is correct解析考点考察对Transition matrixes的理解和使用表格最后一行显示了每一个评级下的Cret sprea由题干信息已知债券的Mofieration为3.22；则从AA变动为AAA，债券价格的变动为-3.22×(0.60%-0.90%）=0.9660%从AA变动为A，债券价格的变动为-3.22×（1.10%-0.90%）=-0.6440%从AA变动为BBB，债券价格的变动为-3.22×（1.50%-0.90%）=-1.9320%从AA变动为BB，债券价格的变动为-3.22×（3.40%-0.90%）=-8.050%从AA变动为B，债券价格的变动为-3.22×（6.50%-0.90%）=-18.0320%从AA变动为CCC,CC,C，债券价格的变动为-3.22×（9.50%-0.90%）=-27.69%题干中的表格给出了AA级向每一个级别变动的概率，因此我们可以用概率乘以对应的债券价格变动0.015×0.966%+0.8800×0%+0.0950×(-0.644%)+0.0075×(-1.9320%)+0.0015×(-8.050%)+0.0005×(-18.0320%)+0.0003×(-27.69%)=-0.091%则假设在没有违约的情况下，下一年的预期收益为YTM减去0.091%。 麻烦老师再讲一下为什么YTM的变化率就是价格的变化率吗？谢谢