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Anne · 2025年05月28日

CDS bias这个数有什么用呢?

* 问题详情,请 查看题干

NO.PZ202112010200002401

问题如下:

What should the protection buyer expect to pay or receive to enter a new 10- year CDS contract?

选项:

A.

The buyer should receive approximately 6.5625% of the notional.

B.

The buyer should pay approximately 15.3125% of the notional.

C.

The buyer should pay approximately 6.5625% of the notional.

解释:

C is correct. Because the market premium is 0.75% above the 1.00% standard investment-grade CDS coupon, the protection buyer must pay the protection seller 6.5625% (= EffSpreadDurCDS × ∆Spread, or 8.75 × 0.75%) of the fixed notional amount upon contract initiation; the initial CDS price is therefore 93.4375 per 100 of notional with a CDS spread of 175 bps.

文中已经给了credit bias了,那么CDS BIAS这个数有什么用呢

1 个答案

发亮_品职助教 · 2025年05月28日

在这道题里面没啥用。CDS Basis = CDS spread - Z-spread

CDS spread是在CDS市场上对Credit risk的定价,Z-spread是在债券市场对Credit risk的定价。理论上是对同一个资产定价,所以两个市场的定价理论上应该一样。

但是,由于两个市场存在一定差异,所以多多少少会有一点差异,这个差异就体现在CDS basis。如果有CDS basis足够大,那可以在两个市场上进行套利(这是二级的内容,三级不涉及)。


这道题因为题干给了债券的credit spread是1.75%,但却用CDS做策略。理论上CDS做策略应该基于CDS spread。这里说CDS basis=0其实是说CDS spread=债券credit spread,意思直接用债券市场的credit spread=1.75%分析CDS即可。这只是为了严谨,没有其他意思。

如果题目没做特殊说明,我们也不用区分是债券市场的credit spread还是CDS市场的credit spread。一般做题直接混用,除非是专门考查两个的区别。

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