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Cindy · 2020年06月26日

问一道题:NO.PZ2018120301000052 [ CFA III ]

问题如下:

Li is a junior credit analyst in a wealth management firm. His client invests in high-yield bonds, one of which is issued by ABC Corporation. This high-yield bond has a 10-year maturity, a modified duration of 8.87 and a spread duration of 8.87. In a meeting with this client, Li made the following statements of the high-yield bond holdings:

"because this bond has a modified duration of 8.87 and a spread duration of 8.87, if the interest rate is expected to decrease 10bps, and the spread is expected to decrease 10 bps as well due to the company’s increased creditworthiness, the bond’s price will not change in response to this interest rate and credit spread changes."

According to Li’s statement, which of the following is correct?

选项:

A.

Li is correct, the bond price will not change.

B.

Li is wrong, because the bond price will decrease due to the decreased interest rate and spread.

C.

Li is wrong, because the bond price will increase due to the decreased interest rate and spread.

解释:

C is correct.

考点:modified duration和Spread duration的理解

解析:由于利率变动对债券价格的影响,可以用Modified duration来衡量,根据公式,可知债券价格上升:10bps ×8.87;同时由于债券的Spread减少带来的价格上升为:10 bps×8.87;所以综合来看利率下降、Spread减少对债券的影响为:2×10bps ×8.87.

因此C选项正确。

Credit spread下降,要求的风险补偿下降,债券价格不是应该下降吗?为什么会上升?

1 个答案
已采纳答案

WallE_品职答疑助手 · 2020年06月28日

这些spread都是加在分母上的,分母变小,债券的价格变高。