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程冠林 · 2024年01月23日

这道题有对应的讲解视频吗?

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.

如题

程冠林 · 2024年01月23日

AB不知道哪里错了

3 个答案

pzqa31 · 2024年01月24日

嗨,爱思考的PZer你好:


credit curve roll-down是承担信用风险的策略,sell protection才是承担信用风险的,buy protection是规避信用风险的。

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pzqa31 · 2024年01月24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说反了,synthetic credit curve roll down,需要卖出CDS(这样才能收取CDS的保费),这样你的现金流才类似于一个bond的利息收入。

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pzqa31 · 2024年01月23日

嗨,努力学习的PZer你好:


我这里查不到这道题的来源,对这道题同学具体有什么问题?

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加油吧,让我们一起遇见更好的自己!

程冠林 · 2024年01月23日

AB不知道哪里错了

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