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
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发表于 2011-2-16 11:43
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