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LEAP · 2023年05月31日

Assuming no change in the credit risk of a bond 题干说假设信贷风险没有增强,按理说bond holder 也不会售出债券,所以Duration是不是不变?

NO.PZ2016031001000120

问题如下:

Assuming no change in the credit risk of a bond, the presence of an embedded put option:

选项:

A.

reduces the effective duration of the bond.

B.

increases the effective duration of the bond.

C.

does not change the effective duration of the bond.

解释:

A is correct.

The presence of an embedded put option reduces the effective duration of the bond, especially when rates are rising. If interest rates are low compared with the coupon rate, the value of the put option is low and the impact of the change in the benchmark yield on the bond’s price is very similar to the impact on the price of a non-putable bond. But when benchmark interest rates rise, the put option becomes more valuable to the investor. The ability to sell the bond at par value limits the price depreciation as rates rise. The presence of an embedded put option reduces the sensitivity of the bond price to changes in the benchmark yield, assuming no change in credit risk.

考点:effective duration

解析:如果从平均还款期的角度来说,由于权利的存在,那么债券现金流更容易提前结束,平均还款期更短,麦考利久期更小,有效久期也更小。

如果从债券价格对于利率变化的敏感程度来考虑,对于putable bond来说,当利率上升的时候,价格下降有一个下限,债券价格下降幅度不如不含权债券,因此债券价格对于利率变化没有那么敏感。所以有效久期更小。故选项A正确。

Assuming no change in the credit risk of a bond, the presence of an embedded put option:

您的回答C, 正确答案是: A 

A

reduces the effective duration of the bond.

B

increases the effective duration of the bond.

C

不正确does not change the effective duration of the bond.


1 个答案

吴昊_品职助教 · 2023年05月31日

嗨,爱思考的PZer你好:


1、duration衡量的是利率风险,而不是信用风险。Assuming no change in the credit risk of a bond,这句话只是说债券的信用风险没有变化,其实这句话对于解题是没有用的。

2、由于put option这个权利的存在,势必就会将duration降低。只要债券含权了,duration就会降低。可以从平均还款期的角度和债券价格对于利率变化的敏感程度,两个角度来理解。具体就参考答案解析。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!