婷 · 2022年03月01日
* 问题详情，请 查看题干
NO.PZ202112010200001903
问题如下：
Which bond rating category offers the highest expected excess returnif spreads instantaneously rise 10% across all ratings categories?
选项：
A. A rated bond category
B. BBB rated bond category
C. BB rated bond category
解释：
A is correct. If spreads rise 10% across all ratingscategories, we can use
E[ExcessSpread] ≈ Spread0 –(EffSpreadDur× ΔSpread) – (POD × LGD) to solve
for expected excess spread as follows:
能把计算过程详细写一下吗？new oas是怎么算出来的？谢谢
pzqa015 · 2022年03月01日
嗨，努力学习的PZer你好：
这个知识点原版书的题解题过程不准确，教研组老师讨论以后，统一得到下面的两条原则，遇着这个知识点的题，同学都按照下面两个原则来解题吧。
1、只要有instan，第一项spread就乘以t=0，第三项LGD*PD不乘0了，LGD*PD是多少就是多少，这点课后题就是这么做的。
所以，如果是Instan，Excess spread这么算：
EXR = Spread 0 × 0 - spread duration × △ Spread - LGD × PD
2、若没有instan，那么持有期是多少（小于1年），第一项Spread和第三项LGD*PD都要乘以t，这是例题这么做的。所以Excess spread这么算：
EXR = Spread 0 × t - spread duration × △ Spread - LGD × PD×t
对于这道题，new OAS是用原OAS*1.1得到的，但是我们根本用不上New OAS，由于是instan上涨10%，所以EXR公式的第一项为0，这道题虽然答案选对了，但是解题过程是错误的
正确的解题过程如下：
EXR of A:0-0.1%*7-0.1%=-0.8%
EXR of BBB:0-0.175%*6-0.75%=-1.8%
EXR of BB:0-0.275%*5-2.5%=-3.88%
故选择A。
----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
徐威廉 · 2022年05月25日
Δspread=0.1%， 0.175%，0.275%哪来的？ 题目都说了spread增加10%啊， Δspread应该都等于10%啊
Shafengler · 2023年05月07日
原版书这部分errata多的坑死了...
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
