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FRM二级模拟真题精选:What is the estimate for the CDS spread?

发表时间:2017-11-06 15:45
作者:frm
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A risk analyst is valuing a 1-year credit default swap(CDS)contract that will pay the buyer 80%of the face value of a bond issued by a corporation immediately after a default by the corporation.To purchase this CDS,the buyer will pay the CDS spread,which is a percentage of the face value,once at the end of the year.The analyst estimates that the risk-neutral default probability for the corporation is 7%per year.The risk-free rate is 2.5%per year.Assuming defaults can only occur halfway through the year and that the accrued premium is paid immediately after a default,what is the estimate for the CDS spread?
 
A.560 basis points
 
B.570 basis points
 
C.580 basis points
 
D.590 basis points

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报名、考试时间

2017年11月2018年05月
报名时间 第一阶段:2017.05.01~06.30
第二阶段:2017.08.01~08.31
第三阶段:2017.09.01~10.15
考试时间 2017年11月18日(周六)
成绩查询 2018年01月03日(周三)
报名时间2 第一阶段:2017.12.1~18.1.31
第二阶段:2018.02.01~02.28
第三阶段:2018.03.01~04.15
考试时间 2018年05月19日(周六)
成绩查询 2018年07月04日(周三)
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