NO.PZ202112010200001901
问题如下:
Which bond rating category offers the highest expected excess return if credit spreads remain stable under current market conditions?
选项:
A.A rated bond category
BBB rated bond category
BB rated bond category
解释:
B is correct. Recall that expected excess spread is defined as follows:
E [Excess Spread] ≈ Spread0 –
(EffSpreadDur × ΔSpread) – (POD × LGD)
Because ∆Spread = 0, the expected excess spread is the simple difference between current OAS and expected loss, so E[Excess Spread] is 0.90%, 1.00%, and 0.25% for the A-, BBB-, and B rated categories, respectively.
老师,我不明白为什么Spread0*t=OAS? 可以解释一下嘛?