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金融民工阿聪 · 2020年07月26日

问一道题：NO.PZ2016082406000024

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

A two-year zero-coupon bond issued by ABC Co. is currently rated A. The market expects that one year from now the probability that the rating of ABC remains at A, is downgraded to BBB, or is upgraded to AA are, respectively, 80%, 15%, and 5%. Suppose that the risk-free rate is flat at 1% and that credit spreads for AA-, A-, and BBB-rated debt are flat at 80, 150, and 280 basis points, respectively. All rates are compounded annually. What is the best approximation of the expected value of the zero-coupon bond one year from now?

选项：

A.

97.41

B.

97.37

C.

94.89

D.

92.44

解释：

ANSWER: A

After one year, the bond becomes a one-year zero-coupon bond. The respective values are, for AA, A, and BBB, PAA=1001+0.0180=98.23P_{AA}=\frac{100}{1+0.0180}=98.23, 97.56, and 96.34. Note that prices are lower for lower ratings. The expected value is given by P=∑πiPi=5%×98.23+80%×97.56+15%×96.34=97.41P=\sum\pi_iP_i=5\%\times98.23+80\%\times97.56+15\%\times96.34=97.41.

这里面说risk free rate is flat at 1%，有什么意义？ “is flat at”这句话是什么意思。。我还以为这是inflation rate.

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1 个答案

袁园_品职助教 · 2020年07月27日

同学你好！

risk free rate is flat at 1% 是在告诉你未来rf的曲线形状是flat，即rf不变，都是1%

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