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开泰-王飞 · 2023年01月17日

答案c应该是HY bond 的Credit spread敏感对哇

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000010

问题如下：

Which of the followingstatements best describes empirical duration?

选项：

A.

A common way to calculate a bond’s empirical duration is to run aregression of its price returns on changes in a benchmark interest rate.

B.

A bond’s empirical duration tends to be larger than its effective duration.

C.

The price sensitivity of high-yield bonds to interest rate changes is typically higher than that of investment-grade bonds

解释：

Ais correct. A bond’s empirical duration is often estimated by running aregression of its price returns on changes in a benchmark interest rate.

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pzqa015 · 2023年01月17日

嗨，从没放弃的小努力你好：


HYB have lower price sensitivity to interest rate changes than IG bond。原理如下：

price sensivity to investment rate change指的是债券价格对基准利率变化的影响程度，或者说基准利率变化1单位，债券价格变化多少。

根据yC=yB+spread，实务中我们观察到spread与yB变化负相关，比如yB下降，表明经济衰退时央行采取扩张的货币政策引导基准利率下降，但衰退时公司经营恶化，公司债风险比变大，所以spread变大，正是由于spread与基准利率的负相关，导致spread对基准利率有抵消作用。

例如：yb下降1%，如果没有spread，yc也会下降1%，但有了spread后，面对yb下降，spread可能会变大0.5%，导致yc下降幅度小于yb下降幅度，这种现象在HYB身上尤为明显，因为经济衰退时，HYB的信用风险更大，spread上涨的更多，所以抵消作用更大，故对于HYB来说，面对yb下降带来的yC下降更少，同时，由于Price是根据yc求出来的，所以yc变化小，那么HYB的price变化就小，也即对基准利率的变化less sensitivity。

yb上涨1%，如果没有spread，yc也会上涨1%，但有了spread后，面对yb上涨，spread可能会下降0.5%，导致yc的上涨幅度小于yb的上涨幅度，这种现象在HYB身上尤为明显，因为经济变好时，HYB的信用风险下降的更多，spread下降的更多，抵消作用更大，故对于HYB来说，面对yb上涨带来的yc上涨更少。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

Feeling · 2023年05月16日

那HY对经济周期更敏感，这两个结论好像冲突了？

pzqa015 · 2023年05月16日

嗨，从没放弃的小努力你好：


HY对经济周期更敏感是说经济周期变动是，HY的credit spread变动更大。这两个结论不冲突哈。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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