鴻同學(xué)
2023-10-26 23:05老師 計算cva的折現(xiàn)因子，我看答案是用無風險利率3%做的，不應(yīng)該用spot rate去折現(xiàn)嗎？
所屬：CFA Level II > Fixed Income 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Danyi助教
2023-10-27 16:54
該回答已被題主采納
同學(xué)你好，
因為這里前面case里面說到了：Answer the first two questions (1–2) based on the assumptions made by Marten Koning, the junior analyst. Answer questions (4) based on the assumptions made by Daniela Ibarra, the senior analyst.
Marten Koning, the junior analyst.的理論就是the assumptions that there is no interest rate volatility and that the government bond yield curve is flat at 3%.
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