R60 练习: 信用风险
考纲范围
Describe credit risk and its components, probability of default and loss given default.
Describe the uses of ratings from credit rating agencies and their limitations.
Describe macroeconomic, market, and issuer-specific factors that influence the level and volatility of yield spreads.
Q1.
An investor is considering to purchase a newly-issued bond by a multinational company. The investor finds that the default probability of this company is 10%, and also estimates that the expected loss of this company is 4%. What is the recovery rate for this company in the event of default?
A. 40%
B. 60%
C. 80%
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答案：B
解析：Expected loss = Default probability × Loss given default = Default probability × (1 - Recovery rate)
$4% = 10% \times (1 - RR)
选项 判断 解析 A ✗ 40%是loss severity(1 - RR)，不是recovery rate B ✓ RR = 1 - (EL/PD) = 1 - (4%/10%) = 60% C ✗ 计算有误 关联：R60: 信用风险
Q2.
Suppose bond A has a lower default risk of 5%, and the recovery rate is 10%. While bond B has a higher default risk of 40%, and the recovery rate is 90%. Which bond has the lower expected loss?
A. Bond B.
B. Bond A.
C. The expected losses of Bond A and B are the same.
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答案：A
解析：
Bond A: EL = 5% × (1 - 10%) = 5% × 90% = 4.5%
Bond B: EL = 40% × (1 - 90%) = 40% × 10% = 4.0%
Bond B的expected loss更低(4.0% < 4.5%)，虽然其default probability更高，但recovery rate也高得多。
选项 判断 解析 A ✓ Bond B的EL = 4.0% < Bond A的EL = 4.5% B ✗ Bond A的EL = 4.5%更高 C ✗ 两者EL不同 关联：R60: 信用风险
Q3.
Lurex Inc. has just issued a 5-year unsecured bond with a 4% fixed coupon. The POD and loss given default of the bond are believed to be 2% and 60% respectively. If the bond is trading at a credit spread of 1.5%:
A. The investors are fairly compensated for assuming the credit risk.
B. The investors are less than fairly compensated for assuming the credit risk.
C. The investors are more than fairly compensated for assuming the credit risk.
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答案：C
解析：Expected loss = POD × LGD = 2% × 60% = 1.2%。Credit spread = 1.5% > Expected loss = 1.2%。投资者获得的补偿(1.5%)超过了预期损失(1.2%)，因此投资者被过度补偿(more than fairly compensated)。
选项 判断 解析 A ✗ credit spread (1.5%) ≠ expected loss (1.2%) B ✗ credit spread > expected loss，投资者被过度补偿 C ✓ 1.5% > 1.2%，投资者获得超过预期损失的补偿 关联：R60: 信用风险
Q4.
With respect to credit rating, which of the following statements is least accurate?
A. The credit rating of an issuer usually applies to its senior secured debts.
B. Credit rating agencies may adopt a notching process to move the issue ratings up or down relative to the issuer rating.
C. In practice, the priority of claims is not always absolute and may be violated.
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答案：A
解析：发行人信用评级(issuer rating)通常对应的是其优先无担保债务(senior unsecured debt)，而非优先担保债务(senior secured debt)。通过级别微调(notching)，债券的信用评级可能高于或低于发行人评级。实务中，清偿优先级确实可能被打破。
选项 判断 解析 A ✓ issuer rating对应senior unsecured而非senior secured，最不准确 B ✗ notching过程确实会调整issue rating，正确 C ✗ 实务中priority of claims可能被违反，正确 关联：R60: 信用风险
Q5.
The credit ratings from rating agencies have been widely used in the world. However, there are limitations and risks relying on agency ratings not including that:
A. credit ratings may change over time.
B. rating agencies would capture all risks in credit ratings.
C. credit ratings tend to lag the market pricing of credit risk.
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答案：B
解析：信用评级的局限性包括：评级可能随时间变化(A)、评级往往滞后于市场对信用风险的定价(C)。选项B说评级机构能捕捉所有风险是错误的——评级机构无法捕捉所有风险，这恰恰是一个局限性，但题目问的是”not including”，即B不是局限性而是错误说法。
选项 判断 解析 A ✗ 评级随时间变化确实是依赖评级的风险 B ✓ 评级机构不能捕捉所有风险，这个说法本身就是错误的，不是局限性 C ✗ 评级滞后于市场定价确实是局限性 关联：R60: 信用风险
Q6.
Which of the following situations most likely leads to a narrower credit spread?
A. The economy is expected to slow down.
B. The credit cycle is expected to improve.
C. The market has an oversupply of new issue bonds.
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答案：B
解析：信用周期改善意味着整体信用状况好转，违约风险降低，信用利差收窄。经济放缓和债券供过于求都会导致信用利差扩大。
选项 判断 解析 A ✗ 经济放缓 → 风险增加 → 利差扩大 B ✓ 信用周期改善 → 风险降低 → 利差收窄 C ✗ 供过于求 → 价格下跌 → 利差扩大 关联：R60: 信用风险
Q7.
If the credit spreads become narrower, which of the following statements is most likely true?
A. The central bank adopts a loose credit policy.
B. The broader economy is deteriorating.
C. The supply of new issue bonds in the entire market far exceeds the demand.
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答案：A
解析：央行采取宽松信贷政策 → 市场流动性增加 → 信用风险感知降低 → 信用利差收窄。经济恶化和供大于求都会导致利差扩大。
选项 判断 解析 A ✓ 宽松货币政策导致信用利差收窄 B ✗ 经济恶化导致利差扩大 C ✗ 供过于求导致利差扩大 关联：R60: 信用风险