Section 1 shows macro factors that she considers relevant for credit investing and includes corporate profitability, economic growth, currency movements, changes in expected market volatility, key rate durations, and default rates. Section 2 contains risk measurements that are used for credit portfolio management and includes average credit rating, average spread duration, duration times spread, average OAS, duration, and effective convexity.
Is West’s two-section report regarding the top-down approach most likely correctly structured?
A.Yes.
B.No. She is incorrect with respect to the macro factors.
C.No, she is incorrect with respect to the risk measurement factors.
答案:
A.Incorrect because West is incorrect regarding macro factors.
B.Correct. West is incorrect with respect to the macro factors. Key rate durations do not form a macro factor used in the top-down approach to select securities or sectors using relative value. Key rate durations are used by a portfolio manager to measure a portfolio’s exposures to non-parallel yield curve changes.
C.Incorrect because West is correct regarding the risk measurements.
我有点不明白,macro factors都有什么?为什corporate profitability也是(我觉得不是),谢谢。KRD是micro factor吗?