NO.PZ201812310200000102
问题如下：
Koning realizes that an increase in the recovery rate would lead to an increase in the bond’s fair value, whereas an increase in the probability of default would lead to a decrease in the bond’s fair value. He is not sure which effect would be greater, however. So, he increases both the recovery rate and the probability of default by 25% of their existing estimates and recomputes the bond’s fair value. The recomputed fair value is closest to:
选项：
A.€843.14.
B.€848.00.
C.€855.91.
解释：
B is correct.
The recovery rate to be used now in the computation of fair value is 30% × 1.25 = 37.5%, whereas the hazard rate to be used is 1.50% × 1.25 = 1.875%.
Using the steps outlined in the solution to Question 1, the following table is prepared, which shows that the bond’s CVA increases to 40.49. Thus, Koning concludes that a change in the probability of default has a greater effect on fair value than a similar change in the recovery rate. The steps taken to complete the table are the same as those in the previous problem. There are no changes in exposures and discount factors in this table.
Changes in the hazard and recovery rates do not affect the value of the default-free bond. So, it is the same as in the previous question: €888.49.
Fair value of the bond considering CVA = €888.49 – CVA = €888.49 – €40.49 = €848.00
什么时候该用二叉树，什么时候该用Rf，有点晕了
