NO.PZ2020033002000032
问题如下:
An investment manager who specializes in credit-linked bonds is trying to find the credit-linked yield spread on a one-year BB-rated coupon issued by a multinational company. With the current market risk-free rate of 2% per annum and a default rate of 8% for BB-rated bonds and a default loss rate of 70%, a reasonable yield to maturity for this bond is
选项:
A.4.51%
B.6.00%
C.7.50%
D.8.05%
解释:
D is correct.
考点:Infer Credit Risk from Corporate Bond Prices
解析:
假设收益率为y,则有公式
代入数字,有
1/(1+y)=(1-8%)/(1+2%)+(1-70%)*8%/(1+2%)
得到 y=8.05%
麻烦给出这个知识点在基础班的哪里?