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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？

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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。

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