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:
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 C选项是不是不全。选项中并没有说包含credit risk premium. inflation 预期不准应该不能包含在credit risk premium 吧