开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Jenny · 2021年04月12日

题目最后问的是first 6-month和一年期的比较

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2016082406000034

问题如下：

Suppose XYZ Corp. has two bonds paying semiannually according to the following table:

The recovery rate for each in the event of default is 50%. For simplicity, assume that each bond will default only at the end of a coupon period. The market-implied risk-neutral probability of default for XYZ Corp. is

选项：

A.

Greater in the first six-month period than in the second

B.

Equal between the two coupon periods

C.

Greater in the second six-month period than in the first

D.

Cannot be determined from the information provided

解释：

ANSWER: A

First, we compute the current yield on the six-month bond, which is selling at a discount. We solve for y* such that 99=1041+y∗20099\text{=}\frac{104}{1+\frac{y\ast}{200}} and find y∗=10.10%y\ast\text{=}10.10\%. Thus the yield spread for the first bond is 10.1-5.5=4.6%10.1\text{-}5.5\text{=}4.6\%. The second bond is at par, so the yield is y∗=9%y\ast\text{=}9\%. The spread for the second bond is   9-6=3%\;9\text{-}6\text{=}3\%. The default rate for the first period must be greater. The recovery rate is the same for the two periods, so it does not matter for this problem.

我们求出来的是second  or remaining 6-month，这个和first 6-month有什么关系啊？
添加评论
1 个答案

品职答疑小助手雍 · 2021年04月13日

嗨，从没放弃的小努力你好：


算出来的第一个bond的spread4.6%是前六个月的，后面bond一年的spread是3%（一年的平均情况）。

题目又说recovery 前后一样。

那显然就是前六个月的PD高，后六个月PD低了。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 455

    浏览
相关问题

NO.PZ2016082406000034 Equbetween the two coupon perio Greater in the seconsix-month periothin the first Cannot terminefrom the information provi ANSWER: A First, we compute the current yielon the six-month bon whiis selling a scount. We solve for y* suth99=1041+y∗20099\text{=}\frac{104}{1+\frac{y\ast}{200}}99=1+200y∗​104​ anfiny∗=10.10%y\ast\text{=}10.10\%y∗=10.10%. Thus the yielsprefor the first bonis 10.1-5.5=4.6%10.1\text{-}5.5\text{=}4.6\%10.1-5.5=4.6%. The seconbonis par, so the yielis y∗=9%y\ast\text{=}9\%y∗=9%. The sprefor the seconbonis   9-6=3%\;9\text{-}6\text{=}3\%9-6=3%. The fault rate for the first periomust greater. The recovery rate is the same for the two perio, so it es not matter for this problem.请问这里为什么是y*/200?为什么是200呢

2021-03-29 11:36 1 · 回答

NO.PZ2016082406000034 Suppose XYZ Corp. htwo bon paying semiannually accorng to the following table: The recovery rate for eain the event of fault is 50%. For simplicity, assume theabonwill fault only the enof a coupon perio The market-implierisk-neutrprobability of fault for XYZ Corp. is Greater in the first six-month periothin the seconEqubetween the two coupon perio Greater in the seconsix-month periothin the first Cannot terminefrom the information provi ANSWER: A First, we compute the current yielon the six-month bon whiis selling a scount. We solve for y* suth99=1041+y∗20099\text{=}\frac{104}{1+\frac{y\ast}{200}}99=1+200y∗​104​ anfiny∗=10.10%y\ast\text{=}10.10\%y∗=10.10%. Thus the yielsprefor the first bonis 10.1-5.5=4.6%10.1\text{-}5.5\text{=}4.6\%10.1-5.5=4.6%. The seconbonis par, so the yielis y∗=9%y\ast\text{=}9\%y∗=9%. The sprefor the seconbonis   9-6=3%\;9\text{-}6\text{=}3\%9-6=3%. The fault rate for the first periomust greater. The recovery rate is the same for the two perio, so it es not matter for this problem. 我还以为是假设1个月付息一次，一年假设360天，然后计算量巨大

2021-03-05 01:37 1 · 回答

Suppose XYZ Corp. htwo bon paying semiannually accorng to the following table: The recovery rate for eain the event of fault is 50%. For simplicity, assume theabonwill fault only the enof a coupon perio The market-implierisk-neutrprobability of fault for XYZ Corp. is Greater in the first six-month periothin the seconEqubetween the two coupon perio Greater in the seconsix-month periothin the first Cannot terminefrom the information provi ANSWER: A First, we compute the current yielon the six-month bon whiis selling a scount. We solve for y* suth99=1041+y∗20099\text{=}\frac{104}{1+\frac{y\ast}{200}}99=1+200y∗​104​ anfiny∗=10.10%y\ast\text{=}10.10\%y∗=10.10%. Thus the yielsprefor the first bonis 10.1-5.5=4.6%10.1\text{-}5.5\text{=}4.6\%10.1-5.5=4.6%. The seconbonis par, so the yielis y∗=9%y\ast\text{=}9\%y∗=9%. The sprefor the seconbonis   9-6=3%\;9\text{-}6\text{=}3\%9-6=3%. The fault rate for the first periomust greater. The recovery rate is the same for the two perio, so it es not matter for this problem. 老师好，这道题我感觉不用考虑那么复杂，感觉都没有考YTM-Rf≈P(1-RR)这个知识点。题目问题问的是XYZ这家公司的违约概率是在上半年高还是下半年高。XYZ公司一共包含了两个债券，第一个A债券只有半年，在第6个月付一次息，第二个B债券是一年，分别在第6个月和1年末付息；而题目还提到了在付息的时候可能会发生违约，那么其实在第6个月的时候，XYZ这家公司违约的概率就是A违约B不违约+B违约A不违约+AB都违约，而在1年末的违约概率是B违约，这样一比较，肯定是在第6个月的时候要更高吧？之前有个同学这么理解的，我觉得很在理，想问问老师这么理解是不是正确的

2020-10-25 21:36 1 · 回答

Suppose XYZ Corp. htwo bon paying semiannually accorng to the following table: The recovery rate for eain the event of fault is 50%. For simplicity, assume theabonwill fault only the enof a coupon perio The market-implierisk-neutrprobability of fault for XYZ Corp. is Greater in the first six-month periothin the seconEqubetween the two coupon perio Greater in the seconsix-month periothin the first Cannot terminefrom the information provi ANSWER: A First, we compute the current yielon the six-month bon whiis selling a scount. We solve for y* suth99=1041+y∗20099\text{=}\frac{104}{1+\frac{y\ast}{200}}99=1+200y∗​104​ anfiny∗=10.10%y\ast\text{=}10.10\%y∗=10.10%. Thus the yielsprefor the first bonis 10.1-5.5=4.6%10.1\text{-}5.5\text{=}4.6\%10.1-5.5=4.6%. The seconbonis par, so the yielis y∗=9%y\ast\text{=}9\%y∗=9%. The sprefor the seconbonis   9-6=3%\;9\text{-}6\text{=}3\%9-6=3%. The fault rate for the first periomust greater. The recovery rate is the same for the two perio, so it es not matter for this problem. 请问公式中，y*/200是什么意思呢

2020-04-29 17:23 1 · 回答