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yj2640 · 2024年07月12日

选项A对应知识点

  1. CFA III
  2. Fixed Income

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.

老师，现在已知yield volatility curve影响的仅仅是options的价格，对普通债权无影响，可以帮忙回忆一下这个是对应哪一章的什么知识点吗？

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发亮_品职助教 · 2024年07月13日

三级固收里面还没有这个点。这个在二级的固收含权债券估值那块有学过。


在二级学的时候，我们会利用利率二叉树给含权债券进行估值，那块讨论将利率二叉树里的利率波动率提高or降低之后，让判断对含权债券与option-free bond(straight bond)的影响。

结论就是，利率波动率提升之后，会提高option行权的可能性，会让option的value上升，但是对option-free bond的value没有影响。参考下图的二级原版书:


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