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玖貳柒 · 2021年03月02日

答案最后一段乘以概率是怎么来的

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NO.PZ201812310200000105

问题如下:

Bond B3 will have a modified duration of 2.75 at the end of the year. Based on the representative one-year corporate transition matrix in Exhibit 7 of the reading and assuming no default, how should the analyst adjust the bond’s yield to maturity (YTM) to assess the expected return on the bond over the next year?

选项:

A.

Add 7.7 bps to YTM.

B.

Subtract 7.7 bps from YTM.

C.

Subtract 9.0 bps from YTM.

解释:

B is correct. For each possible transition, the expected percentage price change, computed as the product of the modified duration and the change in the spread as per Exhibit 7 of the reading, is calculated as follows:

From AA to AAA: –2.75 × (0.60% – 0.90%) = +0.83%

From AA to A: –2.75 × (1.10% – 0.90%) = –0.55%

From AA to BBB: –2.75 × (1.50% – 0.90%) = –1.65%

From AA to BB: –2.75 × (3.40% – 0.90%) = –6.88%

From AA to B: –2.75 × (6.50% – 0.90%) = –15.40%

From AA to C: –2.75 × (9.50% – 0.90%) = –23.65%

The expected percentage change in the value of the AA rated bond is computed by multiplying each expected percentage price change for a possible credit transition by its respective transition probability given in Exhibit 7 of the reading, and summing the products:

(0.0150 × 0.83%) + (0.8800 × 0%) + (0.0950 × –0.55%) + (0.0075 × –1.65%) + (0.0015 × –6.88%) + (0.0005 × –15.40%) + (0.0003 × –23.65%)= –0.0774%.

Therefore, the expected return on the bond over the next year is its YTM minus 0.0774%, assuming no default.

0.015 0.095 0.0075……是怎么来的呢

2 个答案

WallE_品职答疑助手 · 2021年03月03日

同学您好,


我不明白同学您要表达的是什么意思?

这表里面第二排 AA的那一排,1.5 88 9.5 0.75不都是给您的已知条件吗?表格里面都说了这些数字是以百分比(entires in %)除以100不就是您说的数字吗?

WallE_品职答疑助手 · 2021年03月02日

同学您好,


这些都是信用矩阵图里面的概率,比如0.015是AA级别到AAA级别的概率 0.095是AA 到A的概率,您就看矩阵表第三排就好了。

玖貳柒 · 2021年03月02日

对我知道时变动的概率,但具体数字没有呀,可以标出来一下吗谢谢

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