问题如下图:
选项:
A.
B.
C.
解释:
EL5算错了吧 我算的是735.294*1.412%=10.3824
NO.PZ2019011002000001 问题如下 Tim is a member of cret researtein a wealth management firm. The teis analyzing a set of bon with some similcharacteristics.BonA is a zero-coupon 5-yecorporate bonwith a pvalue of $1000. Tim believes ththe risk-neutrprobability of fault (Hazarrate) for eate for the bonis 1.50%, anthe recovery rate is 25%. Assume there is no interest rate volatility anthe government bonyielcurve is fl2%.The market priof the bonA is $850, accorng to the information above the bonis: A.fairly value B.overvalue C.unrvalue C is correct考点考察对Cret risk计量,从而计算Fair value。解析本题要按照常规步骤计算债券的Value。第一步用无风险利率进行折现,计算债券在每个时间点的价值。本题假设无风险利率没有波动为2%经过计算Exposure为下图所示。第二步计算Recovery;Recovery = exposure × recovery rate,已知本题的Recovery rate为25%,可计算Recovery为下图所示。第三步计算Loss given fault;LGExposure – recovery第四步计算Probability of fault (PO;由题干已知the risk-neutrprobability of fault (Hazarrate) for eate for the bonis 1.50%;则第一期的PO1.5%,随后每一期的PO等于Hazarrate乘以上一期存活的概率即上一期POS。因此需要知道每一期的POS;每一期POS可知(100%-1.5%)1=98.5%(100%-1.5%)2=97.0225%(100%-1.5%)3=95.5672%(100%-1.5%)4=94.1337%(100%-1.5%)5=92.7217%第六步计算Expecteloss;有Expecteloss = LG× PO七步计算每一期的折现率,本题假设利率是恒定的2%;第八步计算Expecteloss的现值,PV expecteloss通过用无风险利率折现该Bon到的现值为905.7308则债券的合理价值为905.7308 – 49.44 = 856.29因此当前债券是相对被低估的。 所以每一年用无风险利率算出来的吗
NO.PZ2019011002000001 问题如下 Tim is a member of cret researtein a wealth management firm. The teis analyzing a set of bon with some similcharacteristics.BonA is a zero-coupon 5-yecorporate bonwith a pvalue of $1000. Tim believes ththe risk-neutrprobability of fault (Hazarrate) for eate for the bonis 1.50%, anthe recovery rate is 25%. Assume there is no interest rate volatility anthe government bonyielcurve is fl2%.The market priof the bonA is $850, accorng to the information above the bonis: A.fairly value B.overvalue C.unrvalue C is correct考点考察对Cret risk计量,从而计算Fair value。解析本题要按照常规步骤计算债券的Value。第一步用无风险利率进行折现,计算债券在每个时间点的价值。本题假设无风险利率没有波动为2%经过计算Exposure为下图所示。第二步计算Recovery;Recovery = exposure × recovery rate,已知本题的Recovery rate为25%,可计算Recovery为下图所示。第三步计算Loss given fault;LGExposure – recovery第四步计算Probability of fault (PO;由题干已知the risk-neutrprobability of fault (Hazarrate) for eate for the bonis 1.50%;则第一期的PO1.5%,随后每一期的PO等于Hazarrate乘以上一期存活的概率即上一期POS。因此需要知道每一期的POS;每一期POS可知(100%-1.5%)1=98.5%(100%-1.5%)2=97.0225%(100%-1.5%)3=95.5672%(100%-1.5%)4=94.1337%(100%-1.5%)5=92.7217%第六步计算Expecteloss;有Expecteloss = LG× PO七步计算每一期的折现率,本题假设利率是恒定的2%;第八步计算Expecteloss的现值,PV expecteloss通过用无风险利率折现该Bon到的现值为905.7308则债券的合理价值为905.7308 – 49.44 = 856.29因此当前债券是相对被低估的。 算一遍需要挺多时间的,考试会考这种题吗
NO.PZ2019011002000001 问题如下 Tim is a member of cret researtein a wealth management firm. The teis analyzing a set of bon with some similcharacteristics.BonA is a zero-coupon 5-yecorporate bonwith a pvalue of $1000. Tim believes ththe risk-neutrprobability of fault (Hazarrate) for eate for the bonis 1.50%, anthe recovery rate is 25%. Assume there is no interest rate volatility anthe government bonyielcurve is fl2%.The market priof the bonA is $850, accorng to the information above the bonis: A.fairly value B.overvalue C.unrvalue C is correct考点考察对Cret risk计量,从而计算Fair value。解析本题要按照常规步骤计算债券的Value。第一步用无风险利率进行折现,计算债券在每个时间点的价值。本题假设无风险利率没有波动为2%经过计算Exposure为下图所示。第二步计算Recovery;Recovery = exposure × recovery rate,已知本题的Recovery rate为25%,可计算Recovery为下图所示。第三步计算Loss given fault;LGExposure – recovery第四步计算Probability of fault (PO;由题干已知the risk-neutrprobability of fault (Hazarrate) for eate for the bonis 1.50%;则第一期的PO1.5%,随后每一期的PO等于Hazarrate乘以上一期存活的概率即上一期POS。因此需要知道每一期的POS;每一期POS可知(100%-1.5%)1=98.5%(100%-1.5%)2=97.0225%(100%-1.5%)3=95.5672%(100%-1.5%)4=94.1337%(100%-1.5%)5=92.7217%第六步计算Expecteloss;有Expecteloss = LG× PO七步计算每一期的折现率,本题假设利率是恒定的2%;第八步计算Expecteloss的现值,PV expecteloss通过用无风险利率折现该Bon到的现值为905.7308则债券的合理价值为905.7308 – 49.44 = 856.29因此当前债券是相对被低估的。 t1的为什么是1/1.02的一次放?这时候距离到期t=5还有四段时间,不应该是1/1.02^4吗?
NO.PZ2019011002000001 问题如下 Tim is a member of cret researtein a wealth management firm. The teis analyzing a set of bon with some similcharacteristics.BonA is a zero-coupon 5-yecorporate bonwith a pvalue of $1000. Tim believes ththe risk-neutrprobability of fault (Hazarrate) for eate for the bonis 1.50%, anthe recovery rate is 25%. Assume there is no interest rate volatility anthe government bonyielcurve is fl2%.The market priof the bonA is $850, accorng to the information above the bonis: A.fairly value B.overvalue C.unrvalue C is correct考点考察对Cret risk计量,从而计算Fair value。解析本题要按照常规步骤计算债券的Value。第一步用无风险利率进行折现,计算债券在每个时间点的价值。本题假设无风险利率没有波动为2%经过计算Exposure为下图所示。第二步计算Recovery;Recovery = exposure × recovery rate,已知本题的Recovery rate为25%,可计算Recovery为下图所示。第三步计算Loss given fault;LGExposure – recovery第四步计算Probability of fault (PO;由题干已知the risk-neutrprobability of fault (Hazarrate) for eate for the bonis 1.50%;则第一期的PO1.5%,随后每一期的PO等于Hazarrate乘以上一期存活的概率即上一期POS。因此需要知道每一期的POS;每一期POS可知(100%-1.5%)1=98.5%(100%-1.5%)2=97.0225%(100%-1.5%)3=95.5672%(100%-1.5%)4=94.1337%(100%-1.5%)5=92.7217%第六步计算Expecteloss;有Expecteloss = LG× PO七步计算每一期的折现率,本题假设利率是恒定的2%;第八步计算Expecteloss的现值,PV expecteloss通过用无风险利率折现该Bon到的现值为905.7308则债券的合理价值为905.7308 – 49.44 = 856.29因此当前债券是相对被低估的。 另外,全称是?谢谢!
NO.PZ2019011002000001 这样做的答案是一样的 请教老师CVA类型的题目什么时候能这样做 什么时候不能呢?