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