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dognmnm · 2023年03月03日

Credit Spread curve 的 roll down return

  1. CFA III
  2. Fixed Income

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.

a和b分别错在哪? 麻烦解释一下

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7 个答案

pzqa015 · 2023年06月15日

嗨，从没放弃的小努力你好：


A选项错在少了assumping flat benchmark yield curve这句话。

我们做credit curve roll down策略，price appreciation来源于两部分，一是benchmark curve roll down产生的，二是credit spread curve roll down产生的，如果像A这样仅说来源于passage of time带来的price appreciation，是放大了credit curve roll down产生的price appreciation，所以，A句话的表述是有问题的，正确的表示是加上assumping flat benchmark yield curve这句话。

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Karen · 2023年06月13日

请问A为什么错，A的描述与知识框架图的描述一摸一样。

pzqa015 · 2023年06月04日

嗨，努力学习的PZer你好：


说错了 sell protection相当于买债。

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treize_oz · 2023年06月04日

老师好 关于B选项，为何解释里说是相当于买债呢？这个解释看不懂 下面有一个解释: ”应该是sell protection using a single name CDS”，我倒能看懂 谢谢

pzqa015 · 2023年03月06日

嗨，从没放弃的小努力你好：


yc=yb+spread

如果要计算spread的rolldown return，我们要假设yb是不变的，这样计算出的债券价格appreciation才是credit spread带来的rolldown return。

同理，如果要计算yb的rolldown return，也要假设spread不变，或者不存在spread(国债），这样计算的price appreciation才是benchmark yield的rolldown return。

A说a longer maturity corporate bond with price appreciation due to the passage of time，这个计算的是yc的rolldown return，而不是spread的roll down return，所以，A是错误的。正确的表述应该是剔除掉yb的影响，所以加上假设yb曲线是水平的就可以了。

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pzqa015 · 2023年03月06日

嗨，努力学习的PZer你好：


因为yc=yb+spread，要计算spread的rolldown return，得假设yb保持不变。题目说法计算的是yc的rolldown return，而不是spread的rolldown return。


sell protection等价于买债，rolldown return是通过买债实现的，所以B应该是sell protection.

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努力的时光都是限量版，加油！

pzqa015 · 2023年03月04日

嗨，努力学习的PZer你好：


A选项错在少了assumping flat benchmark yield curve这句话。

我们做credit curve roll down策略，price appreciation来源于两部分，一是benchmark curve roll down产生的，二是credit spread curve roll down产生的，如果像A这样仅说来源于passage of time带来的price appreciation，是放大了credit curve roll down产生的price appreciation，所以，A句话的表述是有问题的，正确的表示是加上assumping flat benchmark yield curve这句话。


B错在应该是sell protection，而不是purchase protection。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

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