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dilly24 · 2024年04月29日

A选项的问题

NO.PZ2021120102000033

问题如下:

An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.

Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?

选项:

A.

Steepening of the benchmark yield volatility curve.

B.

Decreased likelihood of an economic slowdown.

C.

Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).

解释:

C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.

This relationship is captured in the difference between empirical and analytical duration measures.

可以解释一下A选项为什么不对吗?谢谢

1 个答案

发亮_品职助教 · 2024年05月03日

嗨,努力学习的PZer你好:


这道题就是讨论选项中的哪种情况发生时,会导致High-yield portfolio的FV相对于Investment-grade的FV下降。


其实就是要找到哪种情况下,Credit spread会相对于Benchmark rate上升,因为只要Credit spread相对上升,就说明High-yield bond的YTM是相对上升的,其价格是相对下降的。


选项A讨论的不是利率曲线的改变,选项A在讨论利率的波动率曲线,benchmark yield volatility curve,是Volatility curve(波动率曲线)哈,只不过是Benchmark利率的波动率曲线。


波动率曲线影响的是含权债券里面期权的价值,波动率曲线的改变不会影响到普通债券的价格,这道题就是没讨论含权的问题,所以俩债券都属于普通债券,他们的价格不受选项A波动率曲线改变的影响哈。

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