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曼琳 Lyn · 2025年06月20日

credit curve和CDs spread curve??

NO.PZ2021120102000028

问题如下:

Which of the following statements best describes a credit curve roll-down strategy?

选项:

A.

Returns from a credit curve roll-down strategy can be estimated by combining the incremental coupon from a longer maturity corporate bond with price appreciation due to the passage of time.

B.

A synthetic credit curve roll-down strategy involves purchasing protection using a single-name CDS contract for a longer maturity.

C.

A credit curve roll-down strategy is expected to generate a positive return if the credit spread curve is upward sloping.

解释:

C is correct. A credit curve roll-down strategy will generate positive return only under an upward-sloping credit spread curve.

As for A, the benchmark yield changes must be separated from changes due to credit spreads, and under B, a synthetic credit roll-down strategy involves selling protection using a single-name CDS contract for a longer maturity.

看到有同学这么问,助教老师说正确:

问一下,固收里面roll-down的策略是一共有三种吗?分别是Yield Curve的roll-down、Credit Curve的roll-down还有CDS Spread Curve的roll-down?

然后所有Roll down的前提都是stable Curve(分别对应不同的Curve都要stable),同时要根据Yield spread/Credit spread/CDS Spread下降带来的价差进行获利,而且都要在期初进行Long bond操作,所以对于CDS来说就要卖CDS?

请问我这样理解对吗?


但是不应该是只有两种,即yield curve and credit Spread curve吗? Cds 不应该也是看的credit spread curve吗?

1 个答案

发亮_品职助教 · 2025年06月20日

问一下,固收里面roll-down的策略是一共有三种吗?分别是Yield Curve的roll-down、Credit Curve的roll-down还有CDS Spread Curve的roll-down?

然后所有Roll down的前提都是stable Curve(分别对应不同的Curve都要stable),同时要根据Yield spread/Credit spread/CDS Spread下降带来的价差进行获利,而且都要在期初进行Long bond操作,所以对于CDS来说就要卖CDS?


这个理解没什么问题。其实roll down strategy可以分成2个。一个是在yield curve(YTM)上的roll down,另外一个是在credit curve上的roll down。


credit curve又可以分成(bond) credit spread curve,以及CDS spread curve。理论上这两个credit curve是一样的,因为是对同一个资产的定价,但因为是在两个市场的定价,两个市场有一定差异,所以导致两个credit curve有一定差距。

一般做roll down策略的题目不区分CDS spread curve和credit spread curve的差异。两者混用。

可以用债券做credit spread curve上的Roll down,也可以用CDS做credit spread curve的roll down,但用CDS的话,要获得credit exposure,应该是Sell CDS protection头寸。


但是不应该是只有两种,即yield curve and credit Spread curve吗? Cds 不应该也是看的credit spread curve吗?


是的,参考上面回复。其实本质就2种yield curve和credit spread curve。


credit spread curve既可以用债券做,也可以用CDS做。因为两者都是对信用风险定价,所以两者的curve都是credit spread curve。理论上Credit spread curve和CDS spread curve一样,CDS也可以用credit spread curve。


但因为CDS和债券是2个有差异的市场,所以哪怕是对同一个信用风险定价,算出来的credit spread curve也不一样。所以有时候会区分credit spread curve or CDS spread curve。

但对于做roll down strategy的题目,不区分两个曲线。因为不涉及2个产品之间的套利。在roll down strateg里面,认为两个曲线一致,题目给哪个用哪个,且两个混用。

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