开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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？
添加评论
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。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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。

----------------------------------------------
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

  • 2

    回答

  • 5

    关注

  • 912

    浏览
相关问题

NO.PZ2021120102000028 问题如下 Whiof the following statements best scribes a cret curveroll-wn strategy? A.Returns from a cret curve roll-wn strategy cestimatebycombining the incrementcoupon from a longer maturity corporate bonwith priappreciation e to the passage of time. B.A synthetic cret curve roll-wn strategy involves purchasing protection using a single-name C contrafor a longer maturity. C.A cret curve roll-wn strategy is expecteto generate a positive return if the cret sprecurve is upwarsloping. C is correct. A cret curve roll-wn strategy willgenerate positive return only unr upwarsloping cret sprecurve. for thebenchmark yielchanges must separatefromchanges e to cret sprea, anunr asynthetic cret roll-wn strategy involves selling protection using asingle-name C contrafor a longer maturity. 听视频，老师讲的是相当于买一个长期的债券，所以是sell C protection。没想明白为什么是相当于买一个长期的债券？请老师帮忙，谢谢

2024-08-10 14:31 1 · 回答

NO.PZ2021120102000028 问题如下 Whiof the following statements best scribes a cret curveroll-wn strategy? A.Returns from a cret curve roll-wn strategy cestimatebycombining the incrementcoupon from a longer maturity corporate bonwith priappreciation e to the passage of time. B.A synthetic cret curve roll-wn strategy involves purchasing protection using a single-name C contrafor a longer maturity. C.A cret curve roll-wn strategy is expecteto generate a positive return if the cret sprecurve is upwarsloping. C is correct. A cret curve roll-wn strategy willgenerate positive return only unr upwarsloping cret sprecurve. for thebenchmark yielchanges must separatefromchanges e to cret sprea, anunr asynthetic cret roll-wn strategy involves selling protection using asingle-name C contrafor a longer maturity. 可以讲解下为什么c正确吗

2024-07-26 14:28 1 · 回答

NO.PZ2021120102000028 问题如下 Whiof the following statements best scribes a cret curveroll-wn strategy? A.Returns from a cret curve roll-wn strategy cestimatebycombining the incrementcoupon from a longer maturity corporate bonwith priappreciation e to the passage of time. B.A synthetic cret curve roll-wn strategy involves purchasing protection using a single-name C contrafor a longer maturity. C.A cret curve roll-wn strategy is expecteto generate a positive return if the cret sprecurve is upwarsloping. C is correct. A cret curve roll-wn strategy willgenerate positive return only unr upwarsloping cret sprecurve. for thebenchmark yielchanges must separatefromchanges e to cret sprea, anunr asynthetic cret roll-wn strategy involves selling protection using asingle-name C contrafor a longer maturity. 所以，A句话的表述是有问题的，正确的表示是加上assuming flbenchmark yielcurve这句话。还是没搞清楚怎么判断收益曲线stablestable曲线不变吧？是指上倾还是水平？什么时候曲线stable时指的是曲线水平flat？ 收益曲线不变代表ration不变吗？可否请老师详细一下

2024-07-24 01:04 1 · 回答

NO.PZ2021120102000028 问题如下 Whiof the following statements best scribes a cret curveroll-wn strategy? A.Returns from a cret curve roll-wn strategy cestimatebycombining the incrementcoupon from a longer maturity corporate bonwith priappreciation e to the passage of time. B.A synthetic cret curve roll-wn strategy involves purchasing protection using a single-name C contrafor a longer maturity. C.A cret curve roll-wn strategy is expecteto generate a positive return if the cret sprecurve is upwarsloping. C is correct. A cret curve roll-wn strategy willgenerate positive return only unr upwarsloping cret sprecurve. for thebenchmark yielchanges must separatefromchanges e to cret sprea, anunr asynthetic cret roll-wn strategy involves selling protection using asingle-name C contrafor a longer maturity. 如题

2024-07-19 21:59 1 · 回答

NO.PZ2021120102000028问题如下 Whiof the following statements best scribes a cret curveroll-wn strategy? A.Returns from a cret curve roll-wn strategy cestimatebycombining the incrementcoupon from a longer maturity corporate bonwith priappreciation e to the passage of time.B.A synthetic cret curve roll-wn strategy involves purchasing protection using a single-name C contrafor a longer maturity.C.A cret curve roll-wn strategy is expecteto generate a positive return if the cret sprecurve is upwarsloping. C is correct. A cret curve roll-wn strategy willgenerate positive return only unr upwarsloping cret sprecurve. for thebenchmark yielchanges must separatefromchanges e to cret sprea, anunr asynthetic cret roll-wn strategy involves selling protection using asingle-name C contrafor a longer maturity. whis synthetic roll wn strategy? how to use C

2024-06-15 17:41 1 · 回答