NO.PZ2021120102000011
问题如下:
A junior analyst considers a 10-year high-yield bond issued by EKN Corporation (EKN) position in a high-yield portfolio. The bond has a price of 91.82, a modified duration of 8.47, and a spread duration of 8.47.
The analyst speculates on the effects of an interest rate increase of 20 bps and, because of a change in its credit risk, an increase in the EKN bond’s credit spread of 20 bps.
The analyst comments that because the modified duration and the credit spread duration of the EKN bond are equal, the bond’s price will not change (all else being equal) in response to the interest rate and credit spread changes.
Is the analyst’s prediction correct that the EKN bond price will not change in response to the interest rate and credit spread changes, all else being equal?
选项:
A.Yes.
No, the bond price should decrease.
No, the bond price should increase.
解释:
B is correct. An increase in interest rates results in a decrease in the bond price. An increase in the credit spread also results in a decrease in the bond price.
For
the EKN bond, its modified duration shows the effect of the 20 bp increase in interest rates. The approximate
percentage price change resulting from the increase
in interest rates is –8.47 × 0.0020 = –1.694%.
The spread duration shows the effect of the 20 bp increase in the credit spread. The approximate percentage price change resulting from the increase in the credit spread is –8.47 × 0.0020 = –1.694%. The combined effect is a total change of –3.388%, or a price decrease of roughly 3.4%
看了发亮老师的回答,modified duration是指:债券的YTM改变时,引起的债券价格波动。债券的YTM = 基准利率 + spread,所以无论是spread改变,还是基准利率改变,都会通过债券的modified duration影响债券价格波动。
那我们在学Yield spread变化产生的Yield的时候讲了△Spread=△yc(公司债收益率),也就是Spread Duration = Modified Duration,这个时候为什么默认就不考虑基准利率的变化了呢?