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Brownie · 2022年01月24日

这题解析好像有误

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200001603

问题如下：

What is the expected excess spread of the BBB rated bond for an instantaneous 50 bp decline in yields if the bond’s LGD is 40% and the POD is 0.75%?

选项：

A.

1.95%

B.

2.45%

C.

2.70%

解释：

C is correct. The expected excess spread is equal to the change in spread multiplied by effective spread duration (–(EffSpreadDur × ΔSpread)) less the product of LGD and POD, which we can solve for to get 2.70% (=(–6 × 0.50%) – (0.75% × 40%)).

最后一句：which we can solve for to get 2.70% (=(–6 × 0.50%) – (0.75% × 40%)).

应该是 –（6 ×(-50bp)) – (0.75% × 40%) = 2.7%

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1 个答案

pzqa015 · 2022年01月25日

嗨，从没放弃的小努力你好：


是的同学，解析有误

yield decline对应的是-0.5%

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