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Jingwen · 2022年04月25日

Expected return还有这个意思?

* 问题详情,请 查看题干

NO.PZ201812310200000202

问题如下:

Based on Exhibit 1, the one-year expected return on the Entre Corp. bond is closest to:

选项:

A.

3.73%.

B.

5.50%.

C.

7.27%.

解释:

A is correct. The expected return on the Entre Corp. bond over the next year is its yield to maturity plus the expected percentage price change in the bond over the next year. In the table below, for each possible transition, the expected percentage price change is the product of the bond’s modified duration of 7.54, multiplied by –1, and the change in the spread, weighted by the given probability:
Expected percentage price change = (0.0002 × 6.786%) + (0.0030 × 4.524%) + (0.0480 × 3.016%) + (0.8573 × 0.000%) + (0.0695 × –14.326%) + (0.0175 × –37.700%) + (0.0045 × –60.320%)
= –1.76715%.
So, the expected return on the Entre Corp. bond is its yield to maturity plus the expected percentage price change due to credit migration:
Expected return = 5.50% – 1.77% = 3.73%.

老师,我一开始想到的关于expected return肯定就是收益能够是多少?

但是在这题里面,我看了答案,是关于信用转移矩阵的,这个也是被叫作expected return吗?我也看到了强化课PPT里面credit rating这一章写的是creidt spread migration typically reduces the expected retrun, 这个就是用这个公式求出来的变化的值是吗?

1 个答案
已采纳答案

pzqa015 · 2022年04月25日

嗨,爱思考的PZer你好:


expected return是持有期间的预期收益,买入证券后,如果没有任何变化,那么expected return就是ytm。

如果买入后信用风险发生变化,也就是体现在信用转移矩阵上,它会影响expected return,所以,我们根据信用转移矩阵计算出的是对expected return的影响或者说变化值,然后用ytm与这个变化值相加,得到的就是最终持有债券的预期收益,也就是真实的expected return。

这个公式计算出来的就是expected return的变化值。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!