问一道题：NO.PZ201812310200000303

* 问题详情，请查看题干

问题如下：

Based on Exhibit 1, the expected future value of Bond I at maturity is closest to:

选项：

98.80.

103.74.

105.00.

解释：

B is correct. In the event of no default, the investor is expected to receive 105. In the event of a default, the investor is expected to receive 105 – [105 × (1 – 0.40)] = 42. The expected future value of the bond is, therefore, the weighted average of the no-default and default amounts, or (105 × 0.98) + (42 × 0.02) = 103.74.

为什么VND不是把一个面值为100，coupon为5，rf为3%的债券求现值得到的？

另外为什么这里的CVA不用折现呢？

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WallE_品职答疑助手 · 2020年03月01日

同学你好，

请注意题目的问题哟，这一题要求的是未来预期的债券I在到期时候的价值。并不是问的PV，所以不用求VDN也不用把CVA折现。

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NO.PZ201812310200000303 问题如下 Baseon Exhibit 1, the expectefuture value of BonI maturity is closest to: A.98.80. B.103.74. C.105.00. B is correct. In the event of no fault, the investor is expecteto receive 105. In the event of a fault, the investor is expecteto receive 105 – [105 × (1 – 0.40)] = 42. The expectefuture value of the bonis, therefore, the weighteaverage of the no-fault anfault amounts, or (105 × 0.98) + (42 × 0.02) = 103.74. LG105*（1-RR）=63，求PVEL=LGhazarrate*=63*2%/（1+3%）=1.2233，只有一期，所以CVA=1.2233最后FV=VN- CVA=105 - 1.22 =103.78

2023-06-09 01:45 1 · 回答

NO.PZ201812310200000303问题如下Baseon Exhibit 1, the expectefuture value of BonI maturity is closest to: A.98.80. B.103.74. C.105.00. B is correct. In the event of no fault, the investor is expecteto receive 105. In the event of a fault, the investor is expecteto receive 105 – [105 × (1 – 0.40)] = 42. The expectefuture value of the bonis, therefore, the weighteaverage of the no-fault anfault amounts, or (105 × 0.98) + (42 × 0.02) = 103.74. 题目哪里写po2%

2023-03-29 21:45 1 · 回答

NO.PZ201812310200000303 老师这道题计算过程为什么是这样的没想明白到底求啥为啥这样算

2021-03-08 19:21 1 · 回答

如果用VNCVA 求到的value*1.03这种方式能用吗?

2020-11-21 23:50 1 · 回答

老师，求教此题考点对应基础班哪里哇？

2020-03-15 00:48 1 · 回答

问一道题：NO.PZ201812310200000303

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