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还是星宇好 · 2020年08月20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.

PAA=100/(1+0.0180)

​=98.23, 97.56, and 96.34.

0.018是怎么来的啊老师请问下


还有他是A变A,AA,BBB.和这些A-。。。这些的spread有什么关系

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2 个答案

袁园_品职助教 · 2020年11月17日

alexansel 同学你好！

不好意思这里应该是 AA，不是AA-

题目里的小横线 - 不是减号，是连接后面的rated，就是 AA-rated

袁园_品职助教 · 2020年08月21日

同学你好！

0.018 = 1.8% = 1% (risk-free rate) + 80bps (spread for AA-)

alexansel · 2020年11月17日

这和AA-的债券的spread到底有什么关系？

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