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?