97Q4分析師投資學考題-關於違約損失率꘠… - 證照
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By Megan
at 2009-06-02T00:05
at 2009-06-02T00:05
Table of Contents
※ 引述《nctugirl (學習生活)》之銘言:
: 各位網友好,我有在知識+搜尋過債券違約機率的算法。但是,我計算之後,
: 跟證基會公佈的答案不一樣,因此上網求救。請大哥大姐幫幫我,謝謝。標準
: 答案是(A)
: 問題:假設有一家公司一年零息債的收益率為13.5%,
: 而違約機率為3.96%,倘若違約損失率為30%,根據上述
: 資訊,請問一年國庫券的收益率應為何?
: (A)12.15%
: (B)9.54%
: (C)9.24%
: (D)10.78%
試著解解沒人回的這題
等價原則下 :
(1+YTMg)^t = (1+YTMc)^t * (1-PD)
如考慮違約回收率下 :
(1+YTMg)^t = (1+YTMc)^t * (1-PD)+(1+YTMc)^t * PD * f
所以
(1+YTMg)^1 = (1+13.5%)^1 * (1-3.96%)+(1+13.5%)^1 * 3.96% * (1-30%)
則 YTMg = 12.15%
如有錯 請指教
--
--
: 各位網友好,我有在知識+搜尋過債券違約機率的算法。但是,我計算之後,
: 跟證基會公佈的答案不一樣,因此上網求救。請大哥大姐幫幫我,謝謝。標準
: 答案是(A)
: 問題:假設有一家公司一年零息債的收益率為13.5%,
: 而違約機率為3.96%,倘若違約損失率為30%,根據上述
: 資訊,請問一年國庫券的收益率應為何?
: (A)12.15%
: (B)9.54%
: (C)9.24%
: (D)10.78%
試著解解沒人回的這題
等價原則下 :
(1+YTMg)^t = (1+YTMc)^t * (1-PD)
如考慮違約回收率下 :
(1+YTMg)^t = (1+YTMc)^t * (1-PD)+(1+YTMc)^t * PD * f
所以
(1+YTMg)^1 = (1+13.5%)^1 * (1-3.96%)+(1+13.5%)^1 * 3.96% * (1-30%)
則 YTMg = 12.15%
如有錯 請指教
--
--
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證照
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By Anthony
at 2009-06-02T11:28
at 2009-06-02T11:28
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By Iris
at 2009-06-05T16:15
at 2009-06-05T16:15
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at 2009-06-06T15:53
at 2009-06-06T15:53
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By Todd Johnson
at 2009-06-08T18:41
at 2009-06-08T18:41
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By Xanthe
at 2009-06-13T15:03
at 2009-06-13T15:03
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