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面包 · 2022年03月07日

还是没有太理解为什么不是maturity rate

  1. CFA I
  2. Quantitative

NO.PZ2018062016000002

问题如下：

Company XYZ issues two one-year bonds at the same time. Bond A is rated AAA grade while Bond B is B+ grade. The most likely risk premium between the two bonds is:

选项：

A.

maturity risk premium

B.

inflation rate

C.

default risk premium

解释：

C is correct.

AAA grade and B+ grade is the credit rating of the bonds. A bond with triple A grade is high quality bond, and a bond with B+ grade is high yield bond (or junk bond). Bond A and Bond B are similar except for the credit rating. Therefore, the most likely risk premium in this question is default risk premium.

还是没有太理解为什么不是maturity rate

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2 个答案

星星_品职助教 · 2022年03月09日

@面包

通货膨胀风险（inflation risk）是教材单列出来的一种风险，如果考察的话会单独考察，往往是考察real interest rate和nominal interest rate。

一般来说，期限长就会面临通货膨胀的问题。。本题中两只债券的面临的宏观环境是相同的，即两只债券在inflation risk上不会有区分。要么都有，要么都没有，这点没有区分。唯一不同的就是期限。


星星_品职助教 · 2022年03月07日

同学你好，

只有期限不同的时候才会有期限风险（maturity risk）。

本题中两只债券发行时间相同，期限也相同，在这一年的存续期内所受到的影响是一样的。所以期限风险也是相同的。

面包 · 2022年03月09日

那么是否可以理解期限风险和通货膨胀常常伴随出现？

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