不懂credit spread 求解

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

A two-year zero-coupon bond issued by corporate XYZ is currently rated A. One year from
now XYZ is expected to remain at A with 85% probability, upgraded to AA with 5%
probability, and downgraded to BBB with 10% probability. The risk free rate is flat at 4%.
The credit spreads are flat at 40, 80, and 150 basis points for AA, A, and BBB rated issuers,
respectively. All rates are compounded annually. Estimate the expected value of the
zero-coupon bond one year from now (for USD 100 face amount).

这个credit spread不是说明公司债券和国债的收益率差吗，虽然知道是要算期望，但是不懂这个credit spread怎么运用，求解，多谢！！！

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：Credit spread READ Edit cred currently corporate expected amount credit

AA, A, and BBB的贴现率分别为4.4%、4.8%、5.5%，分别算出贴现值，以概率加权

tobest001 发表于 2014-5-4 15:46
AA, A, and BBB的贴现率分别为4.4%、4.8%、5.5%，分别算出贴现值，以概率加权

$97.77(计算有误)。应当是95.37

Price(AA) =100/1.044
Price(A)=100/1.048
Price(BBB)=100/1.055

Price(bond_xyz) =0.05*Price(AA) +0.85*Price(A)+0.10*Price(BBB) =95.37

Yield=Rf+Spread (此处显然题目在假设Spread就只含Credit Spread)