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羅博桂 · 2022年10月01日

default risk 為何還會有差異呢？

  1. CFA I
  2. Quantitative

NO.PZ2018062016000002

问题如下：

Company XYZ issues two one-year bonds at the same time. Bond A is rated AAA grade while Bond B is B+ grade. The most likely risk premium between the two bonds is:

选项：

A.

maturity risk premium

B.

inflation rate

C.

default risk premium

解释：

C is correct.

AAA grade and B+ grade is the credit rating of the bonds. A bond with triple A grade is high quality bond, and a bond with B+ grade is high yield bond (or junk bond). Bond A and Bond B are similar except for the credit rating. Therefore, the most likely risk premium in this question is default risk premium.

請問：

這2個債券既然都是company xyz （同一公司）同時間發行、相同期限的債券，為何default risk 還會有差異呢？


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星星_品职助教 · 2022年10月01日

同学你好，

default risk源于两只债券的评级不同，评价高的债券（本题的triple A grade）信用风险低。

同一个公司发行的不同债券评级不同，源自于债券的性质不同。例如一只债券有资产抵押，所以信用质量就高一些，评级也高。另一只债券没有抵押，信用质量就低一些。

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