开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

dada · 2022年03月19日

for an instantaneous 50 bp decline in yields

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200001603

问题如下：

What is the expected excess spread of the BBB rated bond for an instantaneous 50 bp decline in yields if the bond’s LGD is 40% and the POD is 0.75%?

选项：

A.

1.95%

B.

2.45%

C.

2.70%

解释：

C is correct. The expected excess spread is equal to the change in spread multiplied by effective spread duration (–(EffSpreadDur × ΔSpread)) less the product of LGD and POD, which we can solve for to get 2.70% (=(–6 × 0.50%) – (0.75% × 40%)).

for an instantaneous 50 bp decline in yields这个是spread的变化吗？不可能是benchmark的变化？

添加评论
1 个答案

pzqa015 · 2022年03月20日

嗨，从没放弃的小努力你好：


对，这就是spread的变化，影响的是第二项△spread*ED，

EXR=OAS*t-△spread*ED-POD*LGD，an instantaneous 50 bp decline in yields就是指的spread发生变化。我们在EXR计算这里不考虑benchmark，原因是EXR代表的是hedge interest risk后的收益，是对credit related risk的补偿。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 1131

    浏览
相关问题

NO.PZ202112010200001603 问题如下 Whis the expecteexcess spreof the Bratebonfor aninstantaneous 50 cline in yiel if the bons LGis 40% anthe POis0.75%? A.1.95% B.2.45% C.2.70% C is correct. The expecteexcess spreis equtothe change in spremultiplieeffective spreration (–(EffSpreaur ×ΔSprea) less the proof LGanPO whiwe csolve for to get 2.70% (=(–6 ×0.50%) – (0.75% × 40%)). -(-0.5*6)-0.4*0.75

2022-07-19 19:49 1 · 回答

NO.PZ202112010200001603 问题如下 Whis the expecteexcess spreof the Bratebonfor aninstantaneous 50 cline in yiel if the bons LGis 40% anthe POis0.75%? A.1.95% B.2.45% C.2.70% C is correct. The expecteexcess spreis equtothe change in spremultiplieeffective spreration (–(EffSpreaur ×ΔSprea) less the proof LGanPO whiwe csolve for to get 2.70% (=(–6 ×0.50%) – (0.75% × 40%)). 老师好 除了这题的spre是-0.5%. 是不是这个(密匙）不适用了？因为这题里Sprea *0, 而 po*lg乘以了t? 截图里说的是反的。 应该哪个对？ 谢谢。

2022-06-22 10:15 1 · 回答

NO.PZ202112010200001603 为什么expecteexcess sprea等于2.75-(-0.5*6)-0.4*0.75，而只有后面一部分？

2022-02-22 11:49 1 · 回答

NO.PZ202112010200001603 最后一句whiwe csolve for to get 2.70% (=(–6 × 0.50%) – (0.75% × 40%)). 应该是 –（6 ×(-50bp)) – (0.75% × 40%) = 2.7%

2022-01-24 22:04 1 · 回答