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陈骋 · 2022年10月07日

yb与spread不一般是有negative correlation吗

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000011

问题如下：

A junior analyst considers a 10-year high-yield bond issued by EKN Corporation (EKN) position in a high-yield portfolio. The bond has a price of 91.82, a modified duration of 8.47, and a spread duration of 8.47.

The analyst speculates on the effects of an interest rate increase of 20 bps and, because of a change in its credit risk, an increase in the EKN bond’s credit spread of 20 bps.

The analyst comments that because the modified duration and the credit spread duration of the EKN bond are equal, the bond’s price will not change (all else being equal) in response to the interest rate and credit spread changes.

Is the analyst’s prediction correct that the EKN bond price will not change in response to the interest rate and credit spread changes, all else being equal?

选项：

A.

Yes.

B.

No, the bond price should decrease.

C.

No, the bond price should increase.

解释：

B is correct. An increase in interest rates results in a decrease in the bond price. An increase in the credit spread also results in a decrease in the bond price.

For the EKN bond, its modified duration shows the effect of the 20 bp increase in interest rates. The approximate percentage price change resulting from the increase in interest rates is –8.47 × 0.0020 = –1.694%.

The spread duration shows the effect of the 20 bp increase in the credit spread. The approximate percentage price change resulting from the increase in the credit spread is –8.47 × 0.0020 = –1.694%. The combined effect is a total change of –3.388%, or a price decrease of roughly 3.4%

yb与spread不一般是有negative correlation吗

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1 个答案

pzqa015 · 2022年10月08日

嗨，努力学习的PZer你好：


是的

但这道题并没有考察这个点

这道题考察的是yc=yb+spread，yb与spread都变动，对yc的影响，进而计算出对债券价格的影响。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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