NO.PZ2018120301000052
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:
"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。
老师不是讲，基准利率上升，spread下降吗？互相有一定的抵消作用，high-yield bond抵消作用更明显，所以类似equity吗？这道题条件怎么是基准利率下降，spread也下降呢？而且下降幅度是一样的