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jojo · 2024年07月05日

请问这题最后的答案是什么？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202303270300007701

问题如下：

(1) What is the approximate unhedged excess return to the United States–based credit manager for an international credit portfolio index equally weighted across the four portfolio choices, assuming no change to spread duration and no default losses occur?

选项：

A.

–0.257%

B.

–0.850%

C.0.750%

解释：

A is correct. We solve for the excess spread by subtracting Expected Loss from the respective OAS


Recall that the United States-based investor must convert the euro return to US dollars using RDC = (1 + RFC) (1 + RFX) -1, so the USD IG and USD HY positions comprising half the portfolio return an average 0.80%, while the EUR IG and EUR HY positions return -1.314% in US dollar terms = (1 + ((0.65% + 0.75%)/2)) × 0.98) – 1, so -0.257% = (0.80%-1.314%)/2.

我看到助教老师的回答：


所以，EXR(US IG）=1.25%；EXR(US HY)=3.00%；EXR(EUR IG)=-0.873%；EXR(EUR HY)=1.18%。

所以portfolio 的EXR=1/4（1.25%++3%-0.873%+1.18%）=1.14%。


最终答案是1.14%是吗？

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已采纳答案

pzqa31 · 2024年07月05日

嗨，爱思考的PZer你好：


是的，这道题计算过程是错误的，题目说了no default loss occur，所以，不需要考虑EXR计算公式的第三项EL，同时，没有给出spread的变动信息，所以，第二项△spread*ED这一项也没法计算。只能用第一项OAS来计算。

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