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toffee · 2023年05月24日

这题有两个问题？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200003101

问题如下：

What is the approximate unhedged excess return to the United States–based credit manager for an international credit portfolio index equally weighted across the four portfolio choices, assuming no change to spread duration and no default losses occur?

选项：

A.

–0.257%

B.

–0.850%

C.

0.750%

解释：

A is correct. We solve for the excess spread by subtracting Expected Loss from

the respective OAS:


Recall that the United States–based investor must convert the euro return to US dollars using RDC = (1 + RFC) (1 + RFX) – 1, so the USD IG and USD HY positions comprising half the portfolio return an average 0.80%, while the EUR IG and EUR HY positions return –1.314% in US dollar terms (= ((1 + ((0.65% + 0.75%)/2)) × 0.98) – 1), so –0.257% = ((0.80% – 1.314%)/2).

1 题目没说spread的变化情况 是不是就默认为delta（spread）=0

2 题目不是说没有违约事件发生啊？按说最后一项应该为0才对，为啥再计算EXR的时候 还是把 expected loss 加上了？

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3 个答案

pzqa31 · 2023年05月25日

嗨，从没放弃的小努力你好：


虽然没说spread不变，但是也没说spread改变了多少，那么第二项△spread*ED是等于零的，同时，No default说明第三项EL也等于0，这道题的答案是错的。

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pzqa31 · 2023年05月25日

嗨，爱思考的PZer你好：


不是问题 是题干。。

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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！

toffee · 2023年05月25日

这个题看不到题干么？就是课后那道题

pzqa31 · 2023年05月24日

嗨，从没放弃的小努力你好：


请把题干贴一下

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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！

toffee · 2023年05月25日

What is the approximate unhedged excess return to the United States–based credit manager for an international credit portfolio index equally weighted across the four portfolio choices, assuming no change to spread duration and no default losses occur? 选项： A. –0.257% B. –0.850% C. 0.750%

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