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GhostNightTiger · 2022年02月25日

LDG变小根据公式POD会变大，为啥不选A呢？

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000012

问题如下：

Which of the following outcomes is most likely if the junior analyst revises the bond’s original recovery rate higher?

选项：

A.

An increase in the bond’s POD

B.

A decrease in the bond’s POD

C.

A decrease in the bond’s credit spread

解释：

C is correct. An increase in a bond’s recovery rate will lower the loss severity, or LGD, because LGD = (1 – RR).

Recall the simple one-period relationship between credit spreads, LGD, and the POD as Spread ≈ LGD × POD. A lower LGD will result in a lower spread.

LDG变小根据公式POD会变大，为啥不选A呢？

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pzqa015 · 2022年02月26日

嗨，从没放弃的小努力你好：


LGD与POD是两个事

POD是指违约的概率，而LGD是违约时发生的损失，它只与RR有关，即RR越大，LGD越小

POD*LGD共同构成了expected loss，用spread反映它的大小，expected loss越大，则spread越大，反之越小。

那么EL变大是由什么引起的呢

根据公式，可以有两个原因，一是POD变大，比如发行人经营恶化，违约的可能性变大，那么同样的债权回收率下（LGD不变），EL会变大的，导致spread变大；二是RR变小，LGD变大，比如发行人经营并没有恶化，违约概率不变，但是抵押物价值变小了，导致RR变小，LGD变大，此时，EL也变大。

所以

LGD或者说RR与POD没有直接关系

题目问RR变大的直接后果是什么，显然，RR变大，LGD变小，EL变小，spread变小。这是正确的逻辑。

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mino酱是个小破货 · 2022年05月14日

RR是啥

pzqa015 · 2022年05月14日

嗨，努力学习的PZer你好：


recovery rate

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努力的时光都是限量版，加油！

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