开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Spencer · 2022年07月30日

进入received fixed ,pay floating swap，增加了portfolio duration，相当于是借钱买入了一只债券

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000020

问题如下：

Which of the following strategies best addresses the liquidity risk of a less frequently traded bond position in an active manager’s portfolio?

选项：

A.

Enter into a receive fixed, pay floating asset swap, unwinding the swap position once the illiquid bond position is sold.

B.

Sell single-name CDS protection on the illiquid bond issuer, unwinding the CDS contract when the bond is sold.

C.

Allocate the illiquid bond to the buy-and-hold portion of the investment portfolio.

解释：

C is correct. Both A and B represent “long” risk positions that would increase rather than offset the benchmark yield and credit spread risk to the portfolio manager related to the illiquid bond.

老师请问，为何说”进入received fixed ,pay floating swap，增加了portfolio duration，相当于是借钱买入了一只债券“？

添加评论
2 个答案
已采纳答案

pzqa015 · 2022年07月31日

嗨，努力学习的PZer你好：


fixed bond的duration＞0，float bond的duration=0（近似处理），所以，received fixed,pay float swap相当于long fixed,short float ，所以增加duration。

同时，pay float相当于以浮动利率借钱，receive fixed相当于投资固定收益债券，所以说是借钱买了一只债券。

----------------------------------------------
努力的时光都是限量版，加油！

toffee · 2023年05月22日

这个结论跟这个题有啥关系？

pzqa015 · 2023年05月23日

嗨，从没放弃的小努力你好：


没关系

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 2

    回答

  • 1

    关注

  • 753

    浏览
相关问题

NO.PZ2021120102000020 问题如下 Whiof the following strategies best aresses the liquityrisk of a less frequently trabonposition in active manager’sportfolio? A.Enter into a receive fixe pfloating asset swap, unwinng theswposition onthe illiquibonposition is sol B.Sell single-name C protection on the illiquibonissuer, unwinng the C contrawhen the bonis sol C.Allocate the illiquibonto the buy-anholportion of the investment portfolio. C is correct. Both A anB represent “long” riskpositions thwoulincrease rather thoffset the benchmark yielancret spreriskto the portfolio manager relateto the illiquion B是啥意思，为什么是错的

2024-11-04 17:20 1 · 回答

NO.PZ2021120102000020问题如下 Whiof the following strategies best aresses the liquityrisk of a less frequently trabonposition in active manager’sportfolio? A.Enter into a receive fixe pfloating asset swap, unwinng theswposition onthe illiquibonposition is solB.Sell single-name C protection on the illiquibonissuer, unwinng the C contrawhen the bonis solC.Allocate the illiquibonto the buy-anholportion of the investment portfolio. C is correct. Both A anB represent “long” riskpositions thwoulincrease rather thoffset the benchmark yielancret spreriskto the portfolio manager relateto the illiquion Iliquibon解决liquity risk用C有用吗？C不是转移cret risk吗？用衍生品的话，是主要要把fixeCF转移出去就行吧

2024-03-29 08:08 1 · 回答

NO.PZ2021120102000020 问题如下 Whiof the following strategies best aresses the liquityrisk of a less frequently trabonposition in active manager’sportfolio? A.Enter into a receive fixe pfloating asset swap, unwinng theswposition onthe illiquibonposition is sol B.Sell single-name C protection on the illiquibonissuer, unwinng the C contrawhen the bonis sol C.Allocate the illiquibonto the buy-anholportion of the investment portfolio. C is correct. Both A anB represent “long” riskpositions thwoulincrease rather thoffset the benchmark yielancret spreriskto the portfolio manager relateto the illiquion 突然忘了答案A和B是哪里错了，麻烦解析一下。谢谢

2022-12-18 22:04 1 · 回答

NO.PZ2021120102000020 问题如下 Whiof the following strategies best aresses the liquityrisk of a less frequently trabonposition in active manager’sportfolio? A.Enter into a receive fixe pfloating asset swap, unwinng theswposition onthe illiquibonposition is sol B.Sell single-name C protection on the illiquibonissuer, unwinng the C contrawhen the bonis sol C.Allocate the illiquibonto the buy-anholportion of the investment portfolio. C is correct. Both A anB represent “long” riskpositions thwoulincrease rather thoffset the benchmark yielancret spreriskto the portfolio manager relateto the illiquion 为什么对于流动性不好的债券，还要buy-anhol？不应该找机会卖出吗，越到后面应该流动性更差吧？

2022-12-13 17:38 1 · 回答