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早睡早起快乐学习 · 2022年03月30日

请问为什么题目说了no default losses occur，计算的时候还是要减掉expected loss？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200003101

问题如下：

What is the approximate unhedged excess return to the United States–based credit manager for an international credit portfolio index equally weighted across the four portfolio choices, assuming no change to spread duration and no default losses occur?

选项：

A.

–0.257%

B.

–0.850%

C.

0.750%

解释：

A is correct. We solve for the excess spread by subtracting Expected Loss from

the respective OAS:


Recall that the United States–based investor must convert the euro return to US dollars using RDC = (1 + RFC) (1 + RFX) – 1, so the USD IG and USD HY positions comprising half the portfolio return an average 0.80%, while the EUR IG and EUR HY positions return –1.314% in US dollar terms (= ((1 + ((0.65% + 0.75%)/2)) × 0.98) – 1), so –0.257% = ((0.80% – 1.314%)/2).

expected loss不就是default时产生的loss吗？

何老师讲解这道题的时候好像也没提到这点，直接默认是要减掉的，为什么呀？谢谢解答！

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1 个答案

pzqa015 · 2022年03月30日

嗨，爱思考的PZer你好：


这道题的答案不对哈，如果assuming no default，EXR公式的第三项就不用加了。

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