问题如下图:
我的解题思路哪里错了,coupon应该如何考虑,正确的解题思路应该是什么啊
选项:
A.
B.
C.
D.
解释:
DD仔_品职助教 · 2021年11月16日
嗨,努力学习的PZer你好:
同学你这个题不能这么考虑,因为针对这个债券,他的现金流是半年就有一次,而PD是年化的概念,所以你在计算的时候,针对A债券,他半年就到期,那么PD也应该是半年的。B债券,第一笔现金流是半年的,PD也是半年的,而到期有coupon和本金,此时是一年PD就考虑1年的即可。
这种有coupon的,并且是半年就有一次coupon的债券,不建议同学用这种求expected value的方法来计算,因为麻烦的很,容易出错,这种题型,建议同学直接用简化的近似的公式:YTM-rf=spread=risk-neutral PD*LGD=risk-neutral PD*(1-RR)
就像解析里写的,对于bondA,通过金融计算器:PV=-98 FV=100 PMT=4.25 N=1 CPT I/Y=6.3776 年化YTM=12.76%
spread=YTM-rf=12.76%-4.5%=8.255%
债券B:PV=-101 FV=100 PMT=5 N=2 CPT I/Y=4.466% 年化YTM=8.93%
spread=YTM-rf=8.93%-5%=3.93%
根据题目已知RR=40%,那么spread=PD*RR,谁的spread大,PD肯定就大,A这个半年期bond的PD大于B这个一年期的bond,那么前半年的PD也就肯定大于后半年的PD
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NO.PZ2020033002000034 问题如下 Grapefruit Bank issuetwo semi-annuinterest-bearing cret bon, of whibonA matures after half a year, the coupon rate is 8.5%, the current priis $ 98, anthe corresponng half-yeT-bill interest rate is 4.5%. The bonB expires after one year, the coupon rate is 10%, the current priis $ 101, anthe corresponng one-yeT-bill rate is 5%. Assuming ththeir recovery rates are all 40%, anthey will only fault on the coupon payment te, whiof the following statements is correct? The market implierisk-neutrfault probability in the first half of the yeis higher ththin the seconhalf. B.The market implierisk-neutrfault probability in the first half of the yeis lower ththin the seconhalf. C.The market implierisk-neutrfault probability is equin the first half anthe seconhalf. The market implierisk-neutrfault probability in the first half anthe seconhalf cannot compare is correct.考点SpreRisk-anCret SpreCurve解析对于bon,通过金融计算器PV=-98 FV=100 PMT=4.25 N=1 CPT I/Y=6.3776 年化YTM=12.76%spreaYTM-rf=12.76%-4.5%=8.255%债券BPV=-101 FV=100 PMT=5 N=2 CPT I/Y=4.466% 年化YTM=8.93%spreaYTM-rf=8.93%-5%=3.93%根据题目已知RR=40%,那么spreaPRR,谁的sprea,P定就大,A这个半年期bonP于B这个一年期的bon那么前半年的P就肯定大于后半年的P sprea该是我预计会损失的部分吧,那不应该就是PLG。我怎么记得之前的题也是用的这个。请老师指导一下,学迷糊了
NO.PZ2020033002000034 问题如下 Grapefruit Bank issuetwo semi-annuinterest-bearing cret bon, of whibonA matures after half a year, the coupon rate is 8.5%, the current priis $ 98, anthe corresponng half-yeT-bill interest rate is 4.5%. The bonB expires after one year, the coupon rate is 10%, the current priis $ 101, anthe corresponng one-yeT-bill rate is 5%. Assuming ththeir recovery rates are all 40%, anthey will only fault on the coupon payment te, whiof the following statements is correct? The market implierisk-neutrfault probability in the first half of the yeis higher ththin the seconhalf. B.The market implierisk-neutrfault probability in the first half of the yeis lower ththin the seconhalf. C.The market implierisk-neutrfault probability is equin the first half anthe seconhalf. The market implierisk-neutrfault probability in the first half anthe seconhalf cannot compare is correct.考点SpreRisk-anCret SpreCurve解析对于bon,通过金融计算器PV=-98 FV=100 PMT=4.25 N=1 CPT I/Y=6.3776 年化YTM=12.76%spreaYTM-rf=12.76%-4.5%=8.255%债券BPV=-101 FV=100 PMT=5 N=2 CPT I/Y=4.466% 年化YTM=8.93%spreaYTM-rf=8.93%-5%=3.93%根据题目已知RR=40%,那么spreaPRR,谁的sprea,P定就大,A这个半年期bonP于B这个一年期的bon那么前半年的P就肯定大于后半年的P 为啥用1和2,用0。5算出来是i/y=8.7610,这个是不是直接可以看做年化r
NO.PZ2020033002000034问题如下 Grapefruit Bank issuetwo semi-annuinterest-bearing cret bon, of whibonA matures after half a year, the coupon rate is 8.5%, the current priis $ 98, anthe corresponng half-yeT-bill interest rate is 4.5%. The bonB expires after one year, the coupon rate is 10%, the current priis $ 101, anthe corresponng one-yeT-bill rate is 5%. Assuming ththeir recovery rates are all 40%, anthey will only fault on the coupon payment te, whiof the following statements is correct? The market implierisk-neutrfault probability in the first half of the yeis higher ththin the seconhalf. B.The market implierisk-neutrfault probability in the first half of the yeis lower ththin the seconhalf.C.The market implierisk-neutrfault probability is equin the first half anthe seconhalf. The market implierisk-neutrfault probability in the first half anthe seconhalf cannot compare is correct.考点SpreRisk-anCret SpreCurve解析对于bon,通过金融计算器PV=-98 FV=100 PMT=4.25 N=1 CPT I/Y=6.3776 年化YTM=12.76%spreaYTM-rf=12.76%-4.5%=8.255%债券BPV=-101 FV=100 PMT=5 N=2 CPT I/Y=4.466% 年化YTM=8.93%spreaYTM-rf=8.93%-5%=3.93%根据题目已知RR=40%,那么spreaPRR,谁的sprea,P定就大,A这个半年期bonP于B这个一年期的bon那么前半年的P就肯定大于后半年的PspreaP️RR在讲义哪里讲的
NO.PZ2020033002000034问题如下 Grapefruit Bank issuetwo semi-annuinterest-bearing cret bon, of whibonA matures after half a year, the coupon rate is 8.5%, the current priis $ 98, anthe corresponng half-yeT-bill interest rate is 4.5%. The bonB expires after one year, the coupon rate is 10%, the current priis $ 101, anthe corresponng one-yeT-bill rate is 5%. Assuming ththeir recovery rates are all 40%, anthey will only fault on the coupon payment te, whiof the following statements is correct? The market implierisk-neutrfault probability in the first half of the yeis higher ththin the seconhalf. B.The market implierisk-neutrfault probability in the first half of the yeis lower ththin the seconhalf.C.The market implierisk-neutrfault probability is equin the first half anthe seconhalf. The market implierisk-neutrfault probability in the first half anthe seconhalf cannot compare is correct.考点SpreRisk-anCret SpreCurve解析对于bon,通过金融计算器PV=-98 FV=100 PMT=4.25 N=1 CPT I/Y=6.3776 年化YTM=12.76%spreaYTM-rf=12.76%-4.5%=8.255%债券BPV=-101 FV=100 PMT=5 N=2 CPT I/Y=4.466% 年化YTM=8.93%spreaYTM-rf=8.93%-5%=3.93%根据题目已知RR=40%,那么spreaPRR,谁的sprea,P定就大,A这个半年期bonP于B这个一年期的bon那么前半年的P就肯定大于后半年的P违约概率咋还可以拆分成上半年下半年?这四个债券放一块是为了什么呢?P两两相同?解题完全不明白。谢谢啊
NO.PZ2020033002000034问题如下 Grapefruit Bank issuetwo semi-annuinterest-bearing cret bon, of whibonA matures after half a year, the coupon rate is 8.5%, the current priis $ 98, anthe corresponng half-yeT-bill interest rate is 4.5%. The bonB expires after one year, the coupon rate is 10%, the current priis $ 101, anthe corresponng one-yeT-bill rate is 5%. Assuming ththeir recovery rates are all 40%, anthey will only fault on the coupon payment te, whiof the following statements is correct? The market implierisk-neutrfault probability in the first half of the yeis higher ththin the seconhalf. B.The market implierisk-neutrfault probability in the first half of the yeis lower ththin the seconhalf.C.The market implierisk-neutrfault probability is equin the first half anthe seconhalf. The market implierisk-neutrfault probability in the first half anthe seconhalf cannot compare is correct.考点SpreRisk-anCret SpreCurve解析对于bon,通过金融计算器PV=-98 FV=100 PMT=4.25 N=1 CPT I/Y=6.3776 年化YTM=12.76%spreaYTM-rf=12.76%-4.5%=8.255%债券BPV=-101 FV=100 PMT=5 N=2 CPT I/Y=4.466% 年化YTM=8.93%spreaYTM-rf=8.93%-5%=3.93%根据题目已知RR=40%,那么spreaPRR,谁的sprea,P定就大,A这个半年期bonP于B这个一年期的bon那么前半年的P就肯定大于后半年的P4.5%与5%两个量纲不一样,一个是半年的一个是一年的,用8.93%—5%没有意见,但是12.755%—4.5%,因为4.5%是半年的rf,是否需要4.5%*2?