CFA论坛 - Powered by Discuz! Board

标题: [CFA入门] 请教一道CFA1的定量分析题 [打印本页]

作者: ablueskyray 时间: 2011-2-16 11:43 标题: 请教一道CFA1的定量分析题

请教一道CFA1的定量分析题

在notes里的session2 4.B

A bond that matures in one year is priced at $950 today. You estimate that it has a 10% probability of default. If the bond defaults, you expect to recover $600. If it does not default, it will pay $1080 at maturity. The nominal 1-year risk-free rate is 7.5%

What is the expected payoff on the bond in one year?

答案是：0.1(600) +0.9(1080)=1032

我的问题是，600不是recover，是收回吗？ 1080是付出的，难道不考虑符号问题吗？

0.1(600)+0.9(-1080)=-912. 所以，expect pay 912

请指导，谢谢

作者: Dong86 时间: 2011-2-16 14:31

You can think of it as you recover 600 if the bond defaults, and "recover" 1080 if it doesn't. You obviously don't pay 1080 if the bond doesn't default... 1080 is what you "get" paid if the bond doesn't default

作者: 山东的风 时间: 2011-2-16 21:38

我做的和你的不一样。

作者: zhouhuarui 时间: 2011-2-16 23:43

.....你想多了...他就是两种收回方式 ,那个PAY是指债务人,也就是发行人PAY,不是你PAY,任何情况下都是你收钱...就是计算一个收钱的期望值而已,

作者: yinnili 时间: 2011-3-25 01:40

NPV=(600*0.1+1080*0.9)/1.075-950

欢迎光临 CFA论坛 (http://forum.theanalystspace.com/)