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奔走的狗尾巴草 · 2022年01月02日

A错在哪里呢？

  1. CFA III
  2. Fixed Income

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.

rolldown的return不是coupin+appreciate吗？
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2 个答案

pzqa015 · 2022年01月29日

嗨，努力学习的PZer你好：


stable是指收益率曲线不变，是t=0时刻与t=1时刻的收益率曲线形状一样，那么t=0时刻的2年期收益率，到t=1时刻就变成了1年期收益率，如果收益率曲线不是水平的，二者是不相等的，这样benchmark rate是改变了，我们要求的是收益率不变，即t=0时刻的benchmark rate与t=1时刻的benchmark rate相等。可以说benchmark rate stable，但是如果说benchmark yield curve，则要flat而不能stable了。

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pzqa015 · 2022年01月04日

嗨，努力学习的PZer你好：


credit curve roll down的收益来源于coupon收入以及benchmark yield不变（注意是不变而不是stable）时对credit spread curve的roll down。用图形表示如下

那么这句话正确的表述应该是：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 when the benchmark yield curve is flat。

如果不强调benchmark flat(benchmark yield 不变），那么price appreciation可能会来源于沿着benchmark curve roll down，这会高估整个策略的roll down return。

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努力的时光都是限量版，加油！

小锦鲤要加油 · 2022年01月28日

注意是不变而不是stable，stable不就是稳定不变的意思么

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