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shawnone · 2024年05月02日

关于选项A

  1. CFA III
  2. Fixed Income

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.

如果选项A改为“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 change of credit spread.”，那么是否正确呢

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1 个答案

pzqa31 · 2024年05月05日

嗨，从没放弃的小努力你好：


A这句话错在缺少在句末加上类似“assuming the fixed benchmark yield”这样的表述，也即，应该加上假定基准利率是不变的这样一个条件（注意，是利率不变，不是利率曲线不变），原因如下：

credit curve roll down strategy是随着时间的流逝，长期credit spread下降带来的price aprreciation。由于yc=yb+spread，那么要计算长期credit spread下降带来的price appreciation，就要假定yb是不变的，这样衡量的price appreciation才可以完全反映出spread变化导致yc变化进而导致Price的变化，缺少这句话，仅仅说passage of time导致的price appreciation，相当于只说yc变化，并没有说yc变化是因为什么引起的，有可能yb变化使得yc变化进而使得price变化，那么这样计算的credit rolldown return不再准确。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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