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小小悟空yu · 2021年11月16日

问请问我这样错哪了,谢谢一道题:NO.PZ2020033002000032 [ FRM II ]

问题如下图:

我这样错哪了,另外答案上的f是怎么来的

选项:

A.

B.

C.

D.

解释:

1 个答案

品职答疑小助手雍 · 2021年11月17日

同学你好,这个等式的原理是剩余的钱的期望的现值相等。左边用YTM折现,右边是分子算剩余期望之后用rf折现。你不应该用LGD,应该用RR,也就是1-LGD。答案里写的f其实就是rr

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