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臧小玉 · 2022年03月14日

credit spread

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000024

问题如下：

ABC currently has an A credit rating and has issued two-year zero-coupon bonds, and the market expects the company to maintain its rating at A, downgrade to BBB, or upgrade to AA in one year's time with probabilities of 85%, 10%, and 5%, respectively. Assuming a flat risk-free yield curve with a value of 1% and credit spreads of 70, 100 and 300 basis points at the AA, A and BBB levels, respectively, all interest rates are compounded annually. What is the expected value of a zero-coupon bond after one year?

选项：

A. 96.15

B.

98.04

C.

98.33

D.

97.87

解释：

D is correct.

考点： Infer Credit Risk from Corporate Bond Prices

解析：

一年之后，债券变成了一年期的零息债券，

AA的值为 100/（1+1%+0.7%）=98.3284

A的值为100/（1+1%+1%）=98.0392

BBB的值为100/（1+1%+3%）=96.1538

预期值=5%*98.3284+85%*98.0392+10%*96.1538=97.8651

您好，此处credit spread为什么这算到分母上？



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李坏_品职助教 · 2022年03月14日

嗨，从没放弃的小努力你好：


credit spread就是信用利差，是债券折现率的一部分。你这么想，信用评级越低的债券，违约风险越高，自然市场价格是偏低的（分母的折现率大）。题干里说的几个spread，是在无风险利率基础上加的利差，利差越大，折现率就越高，债券价格越低了。



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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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