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mino酱是个小破货 · 2022年05月14日

请进一步解释A选项,是否zero coupon bond就可以了呢?

NO.PZ2021120102000028

问题如下:

Which of the following statements best describes a credit curve roll-down strategy?

选项:

A.

Returns from a credit curve roll-down strategy can be estimated by combining the incremental coupon from a longer maturity corporate bond with price appreciation due to the passage of time.

B.

A synthetic credit curve roll-down strategy involves purchasing protection using a single-name CDS contract for a longer maturity.

C.

A credit curve roll-down strategy is expected to generate a positive return if the credit spread curve is upward sloping.

解释:

C is correct. A credit curve roll-down strategy will generate positive return only under an upward-sloping credit spread curve.

As for A, the benchmark yield changes must be separated from changes due to credit spreads, and under B, a synthetic credit roll-down strategy involves selling protection using a single-name CDS contract for a longer maturity.

在整条收益率曲线上做riding,收益是:(所有的coupon + YTM改变对债券价格的影响),其中YTM的改变包含benchmark YTM roll down与Credit spread roll down。


而在Credit curve上做riding,收益是:(Incremental coupon + credit spread改变对债券价格的影响),其中incremental coupon就是只与信用风险相关的Coupon,且价格上升部分也只与Spread改变有关。所以,A句话的表述是有问题的。


您的意思是不是只有credit spread改变的影响,去掉coupon部分吗?

so零息债券就可以吗还是

1 个答案
已采纳答案

pzqa015 · 2022年05月15日

嗨,从没放弃的小努力你好:


A选项错在少了assumping flat benchmark yield curve这句话,要假设基准利率不变,这样credit spread沿着credit curve向下roll才是credit curve roll down 策略

比如,yb始终保持1%,期初credit spread=3%,yc=4%,期末credit spread=2.5%,此时yc=3.5%。一定要强调price appreciation due to the passage of time完全来自于credit spread的下降,而不能是credit spread与benchmark 的同时下降。

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