问题如下:
Tim, a credit analyst, is valuing bond C. Bond C is rated at AA. Bond C is a 5-year corporate bond with a par value of $1000. The bond has a fixed annual coupon rate of 6%, and the coupon is paid annually.
Tim believes that the risk-neutral probability of default (Hazard rate) for each date for the bond is 1.50%, and the recovery rate is 25%. Assume there is no interest rate volatility and the government bond yield curve is flat at 2%.
The market price of Bond C is $1087. If the bond is purchased at this price, and there is a default on Date 4, the rate of return to the bond buyer is closest to:
选项:
A.-15%
B.-46%
C.-23%
解释:
C is correct.
考点:计算违约情况下债券的Return
解析:
该5年期债券,在第四年违约,计算投资者收益率可以通过计算IRR得到。
由于在第四年违约,第四年的现金流为第四年的Recovery value;
计算第四期的Recovery value,需要计算出第四期的Exposure,计算步骤和上题一致;有了第四期的Exposure乘以Recovery rate之后,可以得到本期的Recovery value。本题数据和上题一致,可从上题表格知,计算出来的Recovery value为:274.805
该债券在第四期违约,前三期的Coupon仍然可以拿到,因此IRR为:
何老师上课讲的第一道例题是用fair value算收益率, 因为没有市场价格吗?第二道例题付息债券那道,算出来fair value是104.4178,market value是104,最后选了market value=104。但是我看吴昊助教之前答疑又说如果两者不等,还是应该用fair value,但是一般情况下题目都默认定价合理。
到底按例题,还是按助教呢?