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奔走的狗尾巴草 · 2022年01月02日

老师可以解释一下这3个选项吗？

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000013

问题如下：

Which of the following observations on the risks of spread-based fixed-income portfolios is the most accurate?

选项：

A.

Because credit spreads equal the product of the LGD and the POD, distinguishing between the credit risk and liquidity risk components of yield spread across all market scenarios is straightforward.

B.

Given that frequent issuers with many bonds outstanding across maturities have their own issuer-specific credit curve, distinguishing between the credit spread and liquidity spread of all bonds for these issuers is straightforward.

C.

The yield spread of a particular bond comprises both credit and liquidity risk and depends on market conditions and the specific supply-and-demand dynamics of each fixed-income security

解释：

C is correct. A bond’s yield spread includes both credit and liquidity risk. Liquidity risk depends on both market conditions and the specific supply-and demand dynamics of each fixed-income security.

没看懂意思，非常感谢。
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1 个答案

pzqa015 · 2022年01月03日

嗨，努力学习的PZer你好：


题目想问的是，关于spread risk观察到的现象，哪个正确。

A选项：

Because credit spreads equal the product of the LGD and the POD, distinguishing between the credit risk and liquidity risk components of yield spread across all market scenarios is straightforward.

前半句是没问题的，错就错在后半句，广义的credit spread(yield spread)包含credit spread以及liquidity spread，通常二者是不太好区分的，所以distinguish...across all market scenarios is straightforward是不对的。

B选项：Given that frequent issuers with many bonds outstanding across maturities have their own issuer-specific credit curve, distinguishing between the credit spread and liquidity spread of all bonds for these issuers is straightforward.

即使是对于frequent issuer，从yield spread中区分credit spread与liquidity spread也不容易，因为债券的liquidity spread除了受主体自身影响外，还受到债券的市场环境（比如整体流动性情况）以及单只债券的供求因素的影响。

通常情况下，影响债券流动性的主体因素有：单笔发行规模（规模越大，liquidity spread越小）、发行人发行在外的债券总规模（规模越大，liquidity spread越小）、单只债券自发行到现在的时间（刚发行的债券流动性最好，liquidity spread小）、发行人credit rating越高，liquidity spread越小。

C选项：the yield spread of a particular bond comprises both credit and liquidity risk and depends on market conditions and the specific supply and demand dynamics of each fixed income security.

这句话表述是完全正确的，可以当结论记一下，这句话说，公司债的Yield spread包含credit spread与liquidity spread，市场条件以及单只债券的供求关系会影响到yield spread大小。在市场宏观环境不变的情况下，市场对某只债券或某个发行人发行债券的需求越大，那么yield spread越小，主要原因是，一方面，对债券的需求量大，导致债券的dealer会降低做市的bid ask spread，使得购买债券的liquidity spread变小；另一方面，市场对某只债券的需求量增大，意味着市场一致认为该发行人的信用违约风险变小，因此，购买债券所要求的credit spread也变小。若市场宏观环境改变，那么经济变好，公司债yield spread下降，经济变差，yield spread上升。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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