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.
A synthetic credit curve roll-down strategy involves purchasing protection using a single-name CDS contract for a longer maturity.
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.
No.PZ2021120102000028 (选择题)
来源: 原版书
Which of the following statements best describes a credit curve roll-down strategy?
您的回答B, 正确答案是: C
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
不正确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.
roll down策略是什么
是p1-p0/p0吗还是说这个是roll down return
如果是p1-p0/p0的话 我的理解收益率曲线upward sloping.应该 p1小于p0 这样就应该是负的return
