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

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

添加评论
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。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 439

    浏览
相关问题

NO.PZ2020033002000073问题如下 A three-yecret-linkenote (CLN) with unrlying company X ha LIBOR+90semiannucoupon with US100 million favalue. LIBOR is 5% for all maturities anthe current three-yeC sprefor company X is 60bp. The fair value of this CLN is closest to US100.00 million US100.3 million US100.82 million US99.19 million C is correct.考点CLN解析PMT = 100 * (5%+0.9%)/2 = 2.95 millionI/Y = (5% +0.6%)/2 = 2.8%N = 6FV = 100 million代入计算可得 PV = -100.82 million 请问不明白之间的关系。

2023-09-25 22:16 1 · 回答

NO.PZ2020033002000073 问题如下 A three-yecret-linkenote (CLN) with unrlying company X ha LIBOR+90semiannucoupon with US100 million favalue. LIBOR is 5% for all maturities anthe current three-yeC sprefor company X is 60bp. The fair value of this CLN is closest to US100.00 million US100.3 million US100.82 million US99.19 million C is correct.考点CLN解析PMT = 100 * (5%+0.9%)/2 = 2.95 millionI/Y = (5% +0.6%)/2 = 2.8%N = 6FV = 100 million代入计算可得 PV = -100.82 million 老师LIBOR is 5% for all maturities anthe current three-yeC sprefor company X is 60bp. 这道题题干表示标的资产的coupon是5%+0.9%半年付息。又去买了一个C，而这个C的spre我以为就是60bps，没理解为什么要加上libor，也就是这句话不太理解。然后还有个问题是关于解析当中讲C spre直接默认为债券的require rate，又该怎么理解呢？

2023-07-20 13:54 1 · 回答

NO.PZ2020033002000073问题如下 A three-yecret-linkenote (CLN) with unrlying company X ha LIBOR+90semiannucoupon with US100 million favalue. LIBOR is 5% for all maturities anthe current three-yeC sprefor company X is 60bp. The fair value of this CLN is closest to US100.00 million US100.3 million US100.82 million US99.19 million C is correct.考点CLN解析PMT = 100 * (5%+0.9%)/2 = 2.95 millionI/Y = (5% +0.6%)/2 = 2.8%N = 6FV = 100 million代入计算可得 PV = -100.82 million 如题，投资者最终收到的不是coupon再加投行卖C收到的保费60吗？

2023-05-01 15:50 2 · 回答

NO.PZ2020033002000073 问题如下 A three-yecret-linkenote (CLN) with unrlying company X ha LIBOR+90semiannucoupon with US100 million favalue. LIBOR is 5% for all maturities anthe current three-yeC sprefor company X is 60bp. The fair value of this CLN is closest to US100.00 million US100.3 million US100.82 million US99.19 million C is correct.考点CLN解析PMT = 100 * (5%+0.9%)/2 = 2.95 millionI/Y = (5% +0.6%)/2 = 2.8%N = 6FV = 100 million代入计算可得 PV = -100.82 million 老师你好，我看了之前老师对这道题的，有以下几点不理解，麻烦您一下；按照何老师以core reang 中对CLN的流程讲解，我按那个流程对这道题画了一个近似的如下这是一位老师对此题的是这样的“看到CLN的计算题真的不用慌，因为CLN最终的原理其实就是一般的带利息的债券。这题中的CLN其实就相当于一个FV=100,3年期每半年付息一次，coupon rate是5.9%，年化折现率是5.6%的债券。求它的现值就行了。”那么我不理解的是，如果按照core reang对cln的介绍，也就是上面这个图的样子，中间Bank A 收到基础资产bon的semi annupayment LIBOR + 90之后，除了借bank a 的cretor100mil 的利息（LIBOR）之后，bank A自己还留下30bp，最后才给CLN的buyer 60bp。那对CLN求pv的时候为什么PMT 是5.9%呀？实际只拿到了5%+60bp呀另外，题目中不知道provir给Bank A多少的自有资金撬动这100mil， 那为什么求CLN现值的 FV是100mil呢？我在这里的理解有点混乱，请老师一下。多谢！

2023-02-28 17:59 1 · 回答

NO.PZ2020033002000073 问题如下 A three-yecret-linkenote (CLN) with unrlying company X ha LIBOR+90semiannucoupon with US100 million favalue. LIBOR is 5% for all maturities anthe current three-yeC sprefor company X is 60bp. The fair value of this CLN is closest to US100.00 million US100.3 million US100.82 million US99.19 million C is correct.考点CLN解析PMT = 100 * (5%+0.9%)/2 = 2.95 millionI/Y = (5% +0.6%)/2 = 2.8%N = 6FV = 100 million代入计算可得 PV = -100.82 million 请问这道题可不可以给个计算器操作步骤

2022-04-23 19:31 1 · 回答