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kkyy · 2020年02月16日

问一道题：NO.PZ2015121810000036

  1. CFA II
  2. Portfolio

问题如下：

A corporate bond has a remaining maturity of 1 year, has a face value of EUR100, and is currently priced at EUR90.90. The real risk-free rate is

3.25%. Inflation is expected to be 2.0% next year, and the premium required by investors for inflation uncertainty is 0.25%. The implied credit risk premium embedded in the bond’s price is best described as:

选项：

A.

equal to (100/90.90) – 1 = 10%.

B.

10% reduced by the real risk-free rate and expected inflation.

C.

10% reduced by the real risk-free rate, expected inflation, and the premium for inflation uncertainty.

解释：

C is correct.

The implied credit risk premium embedded in the bond’s price is the yield (10%) less the default risk-free nominal interest rate, which includes a premium for inflation uncertainty. See Example 15. The credit risk premium can be calculated as 4.51% in this case:

lϒt,si=10090.90−(1+0.0325+0.02+0.0025)ϒt,si=4.51%{l}ϒ_{t,s}^i=\frac{100}{90.90}-(1+0.0325+0.02+0.0025)\\ϒ_{t,s}^i=4.51\%

考点：credit risk premium

解析：未来现金流折现求和计算债券价格。已知债券价格, real risk-free rate, Inflation rate, inflation uncertainty, 由于公司债有credit risk，所以将已知数代入公式，即可求出credit risk premium.

请问10%里面除了credit risk premium 之外是什么呢？不耐情绪吗？

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1 个答案

星星_品职助教 · 2020年02月16日

同学你好，

10%就是题干中的这几项的加总：real risk-free rate+Inflation rate+inflation uncertainty+credit risk

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