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Travel、 · 2025年05月28日

如题

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NO.PZ202305230100005408

问题如下:

What impact would a “flight to safety” (i.e., government bond yields falling and credit spreads widening) have on the analytical duration estimate of Bond A?

选项:

A.

Decreased duration

B.

Increased duration

C.

No impact

解释:

C is correct. There would be no impact on the analytical duration estimate. However, an empirical duration estimate would be impacted. A flight to safety would result in an increase in the bond price due to the falling benchmark yield being offset by widening credit spread. This would lead to a lower empirical duration than analytical duration.

这道题我理解的是,government yield falling,那么bondA的 YTM 也下降,价格上升,然后duration下降

这么想有什么问题?

1 个答案

笛子_品职助教 · 2025年05月29日

嗨,从没放弃的小努力你好:


Hello,亲爱的同学~


只看同学的问题:

bondA的 YTM受到两个因素影响,一是government yield,二是Credit spread。

当government yield falling的时候,Credit spread 会 increase。两者变动方向相反。

所以bondA 的YTM不一定下降,如果Credit spread 上升幅度与government yield 的下降幅度相等,它可以不变。


但个人认为这道题目问得不好,很容易产生歧义。进一步分析:

这道题其实本质上就是考查:Analytical duration与Empirical duration的比较。尤其是题干专门说了Benchmark rate下降、Spread上升,那这道题其实是想问Benchmark rate与Spread之间共同反向变动对Analytical Duration与Empirical duration的影响如何。


1、对于analytical duration来说,YTM只考虑Benchmark rate的改变,所以Benchmark rate与spread的反向变动,这个反向的关系不会影响它。(出题的人意图就在此,所以选no impact)


2、对于Empirical duration来讲,此时YTM同时考虑Benchmark rate改变与Spread改变,且由于出现了反向变动的抵消作用,所以YTM的改变幅度没有benchmark rate的改变幅度大,这导致实际的价格变动更小,于是较小的价格改变与benchmark rate改变回归得到的Empirical duration就比较小,小于Analytical duration。


以上是这道题的分析。问题如果改成以下表述会更好:Benchmark rate与Spread之间的反向变动对analytical duration的影响如何,即选no impact。

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努力的时光都是限量版,加油!

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