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考不过瘦十斤 · 2023年01月18日

老师好，因为credit spread 和interest rate 上升，expected return 下降，收益和bond price 成反向变动关系，bond price应该上升吧?

  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%

老师好，因为credit spread 和interest rate 上升，expected return 下降，收益和bond price 成反向变动关系，bond price应该上升吧?这道题是不是应该选C

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1 个答案

pzqa015 · 2023年01月18日

嗨，从没放弃的小努力你好：


credit spread和interest rate上升，则折现率上升，折现率上升，则债券价格下降，所以，债券价格是下跌的。

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