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CC · 2023年09月05日

影响因素

  1. CFA II
  2. Portfolio

NO.PZ2015121810000036

问题如下：

A corporate bond has a remaining maturity of 1 year, has a face value of EUR100, and is currently priced at EUR90.90. The real risk-free rate is

3.25%. Inflation is expected to be 2.0% next year, and the premium required by investors for inflation uncertainty is 0.25%. The implied credit risk premium embedded in the bond’s price is best described as:

选项：

A.

equal to (100/90.90) – 1 = 10%.

B.

10% reduced by the real risk-free rate and expected inflation.

C.

10% reduced by the real risk-free rate, expected inflation, and the premium for inflation uncertainty.

解释：

C is correct.

The implied credit risk premium embedded in the bond’s price is the yield (10%) less the default risk-free nominal interest rate, which includes a premium for inflation uncertainty. See Example 15. The credit risk premium can be calculated as 4.51% in this case:

lϒt,si=10090.90−(1+0.0325+0.02+0.0025)ϒt,si=4.51%{l}ϒ_{t,s}^i=\frac{100}{90.90}-(1+0.0325+0.02+0.0025)\\ϒ_{t,s}^i=4.51\%

考点：credit risk premium

解析：未来现金流折现求和计算债券价格。已知债券价格, real risk-free rate, Inflation rate, inflation uncertainty, 由于公司债有credit risk，所以将已知数代入公式，即可求出credit risk premium.

老师，1）这道题考的是什么？价格的影响因素么？ 2）B和C10%怎么计算的？您帮我整体讲一下这道题

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1 个答案

星星_品职助教 · 2023年09月05日

同学你好，

本题考察risk premium的组成。

由于FV=PV×（1+r）。本题中FV=100，PV=90.90，所以1+r=100/90.90。

将r拆分，可得1+r=1+real risk free rate+inflation+inflation uncertainty+credit risk premium=100/90.90。

移项后即可得到：credit risk premiun=100/90.90 -1 - real risk free rate-inflation - inflation uncertainty=10%- real risk free rate-inflation - inflation uncertainty。


如整道题都不会做，看答案解析也没有思路。请先复习基础班对应内容后再行做题。

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2023-05-06 18:24 1 · 回答

NO.PZ2015121810000036 讲课的时候不是说短期的债券认为没有inflation rate uncertainty的风险吗？为什么这题还要把不确定通胀率的风险减了

2021-04-02 22:30 1 · 回答

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请问10%里面除了cret risk premium 之外是什么呢？不耐情绪吗？

2020-02-16 00:02 1 · 回答