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NO.PZ2020033002000032问题如下 investment manager who specializes in cret-linkebon is trying to finthe cret-linkeyielspreon a one-yeBB-ratecoupon issuea multinationcompany. With the current market risk-free rate of 2% per annum ana fault rate of 8% for BB-ratebon ana fault loss rate of 70%, a reasonable yielto maturity for this bonis 4.51% B.6.00% 7.50% 8.05% is correct.考点Infer Cret Risk from Corporate BonPrices解析假设收益率为y,则有公式11+y=1∗(1−π)1+rf+f∗π1+rf\frac1{1+y}=\frac{1\ast(1-\mathrm\pi)}{1+r_f}+\frac{\mathrm f\ast\mathrm\pi}{1+r_f}1+y1=1+rf1∗(1−π)+1+rff∗π代入数字,有1/(1+y)=(1-8%)/(1+2%)+(1-70%)*8%/(1+2%)得到 y=8.05% 这道题为什么不能用risk neutral的公式 lam等于sprea以1-RR?
NO.PZ2020033002000032 问题如下 investment manager who specializes in cret-linkebon is trying to finthe cret-linkeyielspreon a one-yeBB-ratecoupon issuea multinationcompany. With the current market risk-free rate of 2% per annum ana fault rate of 8% for BB-ratebon ana fault loss rate of 70%, a reasonable yielto maturity for this bonis 4.51% B.6.00% 7.50% 8.05% is correct.考点Infer Cret Risk from Corporate BonPrices解析假设收益率为y,则有公式11+y=1∗(1−π)1+rf+f∗π1+rf\frac1{1+y}=\frac{1\ast(1-\mathrm\pi)}{1+r_f}+\frac{\mathrm f\ast\mathrm\pi}{1+r_f}1+y1=1+rf1∗(1−π)+1+rff∗π代入数字,有1/(1+y)=(1-8%)/(1+2%)+(1-70%)*8%/(1+2%)得到 y=8.05% 为什么不能用简化方法?简化方法算完等于4.4%ytm-2%=8%*(1-0.7)与精确算法为什么差一倍多了呢?
NO.PZ2020033002000032 问题如下 investment manager who specializes in cret-linkebon is trying to finthe cret-linkeyielspreon a one-yeBB-ratecoupon issuea multinationcompany. With the current market risk-free rate of 2% per annum ana fault rate of 8% for BB-ratebon ana fault loss rate of 70%, a reasonable yielto maturity for this bonis 4.51% B.6.00% 7.50% 8.05% is correct.考点Infer Cret Risk from Corporate BonPrices解析假设收益率为y,则有公式11+y=1∗(1−π)1+rf+f∗π1+rf\frac1{1+y}=\frac{1\ast(1-\mathrm\pi)}{1+r_f}+\frac{\mathrm f\ast\mathrm\pi}{1+r_f}1+y1=1+rf1∗(1−π)+1+rff∗π代入数字,有1/(1+y)=(1-8%)/(1+2%)+(1-70%)*8%/(1+2%)得到 y=8.05% 同样是求ytm rate, 加入我通过 risk neutral的公式= 未来现金流折现求pri两式子相等,带入其他参数比如fault rate, rf rate,loss rate 反求ytm=4.51%请老师指点一下这个并非近似(ytm-rf ≈。。。)的方法,为什么求出来的ytm不对呢。 我这种方法错在哪里呢? 多谢
NO.PZ2020033002000032 问题如下 investment manager who specializes in cret-linkebon is trying to finthe cret-linkeyielspreon a one-yeBB-ratecoupon issuea multinationcompany. With the current market risk-free rate of 2% per annum ana fault rate of 8% for BB-ratebon ana fault loss rate of 70%, a reasonable yielto maturity for this bonis 4.51% B.6.00% 7.50% 8.05% is correct.考点Infer Cret Risk from Corporate BonPrices解析假设收益率为y,则有公式11+y=1∗(1−π)1+rf+f∗π1+rf\frac1{1+y}=\frac{1\ast(1-\mathrm\pi)}{1+r_f}+\frac{\mathrm f\ast\mathrm\pi}{1+r_f}1+y1=1+rf1∗(1−π)+1+rff∗π代入数字,有1/(1+y)=(1-8%)/(1+2%)+(1-70%)*8%/(1+2%)得到 y=8.05% 前面有题目是用简化公式做的算出来YTM-2%=8%*70%,YTM=7.6%
NO.PZ2020033002000032 问题如下 investment manager who specializes in cret-linkebon is trying to finthe cret-linkeyielspreon a one-yeBB-ratecoupon issuea multinationcompany. With the current market risk-free rate of 2% per annum ana fault rate of 8% for BB-ratebon ana fault loss rate of 70%, a reasonable yielto maturity for this bonis 4.51% B.6.00% 7.50% 8.05% is correct.考点Infer Cret Risk from Corporate BonPrices解析假设收益率为y,则有公式11+y=1∗(1−π)1+rf+f∗π1+rf\frac1{1+y}=\frac{1\ast(1-\mathrm\pi)}{1+r_f}+\frac{\mathrm f\ast\mathrm\pi}{1+r_f}1+y1=1+rf1∗(1−π)+1+rff∗π代入数字,有1/(1+y)=(1-8%)/(1+2%)+(1-70%)*8%/(1+2%)得到 y=8.05% 题目里面的70%为什么是risk recovery rate,而不是LG