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hbc0728 · 2022年04月05日

请问折现为什么用LIBOR+CDS spread，谢谢

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000073

问题如下：

A three-year credit-linked note (CLN) with underlying company X has a LIBOR+90bp semiannual coupon with USD 100 million face value. LIBOR is 5% for all maturities and the current three-year CDS spread for company X is 60bp. The fair value of this CLN is closest to

选项：

A.

USD 100.00 million

B.

USD 100.3 million

C.

USD 100.82 million

D.

USD 99.19 million

解释：

C is correct.

考点：CLN

解析：

PMT = 100 * (5%+0.9%)/2 = 2.95 million

I/Y = (5% +0.6%)/2 = 2.8%

N = 6

FV = 100 million

代入计算可得 PV = -100.82 million

如题

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1 个答案

DD仔_品职助教 · 2022年04月05日

嗨，从没放弃的小努力你好：


同学你好，

因为我们一般认为LIBOR是无风险利率，CDS spread代表风险溢价，所以他俩相加是考虑到了风险的利率，这个利率应该作为折现率。

问题最后一句的描述就是在暗示，要用这俩相加才是折现率。

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