滴滴姐姐~ · 2022年01月05日
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NO.PZ202112010200001903
问题如下：
Which bond rating category offers the highest expected excess return if spreads instantaneously rise 10% across all ratings categories?
选项：
A.A rated bond category
BBB rated bond category
BB rated bond category
解释：
A is correct. If spreads rise 10% across all ratings categories, we can use
E[ExcessSpread] ≈ Spread0 –(EffSpreadDur × ΔSpread) – (POD × LGD) to solve
for expected excess spread as follows:
这题我以为是按照t=0算呢。。虽然答案也是A吧。。但真没意会出来spread_0要变。。。
这题我大概知道了 instant return是 t=0。instant yield rise/decline就是无意义的形容词嗯～
NO.PZ202112010200001903问题如下 Whibonrating category offers the highest expecteexcess returnif sprea rise 10% across all ratings categories? A.A rateboncategoryB.BrateboncategoryC.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: 看到助教-t*LGPO请论证，谢谢
NO.PZ202112010200001903 问题如下 Whibonrating category offers the highest expecteexcess returnif sprea rise 10% across all ratings categories? A.A rateboncategory B.Brateboncategory C.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: 请问current rate为何是0？以及答案中excess sprea什么？怎么计算出来的？
NO.PZ202112010200001903问题如下 investor is facewith active portfolio cisionacross three bonrating categories baseon the following current marketinformation: Whibonrating category offers the highest expecteexcess returnif sprea instantaneously rise 10% across all ratings categories? A.A rateboncategoryB.BrateboncategoryC.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: instantaneously 的变化计算时候还加 sprea？你再好好看看答案计算过程，服了
NO.PZ202112010200001903 问题如下 investor is facewith active portfolio cisionacross three bonrating categories baseon the following current marketinformation: Whibonrating category offers the highest expecteexcess returnif sprea instantaneously rise 10% across all ratings categories? A.A rateboncategory B.Brateboncategory C.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: 老师好，想问个细节。在这个问答中【https://class.pzacamy.com/qa/149512 】，EXR公式最后一项是【+( LGP】吗？是不是写错了？
NO.PZ202112010200001903 问题如下 Whibonrating category offers the highest expecteexcess returnif sprea instantaneously rise 10% across all ratings categories? A.A rateboncategory B.Brateboncategory C.rateboncategory A is correct. If sprea rise 10% across all ratingscategories, we cuseE[ExcessSprea ≈ Sprea –(EffSpreaur× ΔSprea – (PO× LG to solvefor expecteexcess sprefollows: 如题
