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shihong · 2022年01月15日

这个题的问题说哪个降低了HY future value，这里的future 不是long-term？

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000033

问题如下：

An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.

Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?

选项：

A.

Steepening of the benchmark yield volatility curve.

B.

Decreased likelihood of an economic slowdown.

C.

Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).

解释：

C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.

This relationship is captured in the difference between empirical and analytical duration measures.

问哪个降低了future value，这里不是long-term吗？
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2 个答案

pzqa015 · 2024年01月10日

嗨，爱思考的PZer你好：


利率波动率越大，则风险越大，利率波动率越小，则风险越小。

收益率波动率曲线变陡，意味着短期波动率下降，也就是短期风险下降，是经济变好的迹象

你总结的对。

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pzqa015 · 2022年01月16日

嗨，从没放弃的小努力你好：


不是的，这里的future是未来的意思，这道题的意思是，下面哪个模型假设会让未来HYB的价值相对于IG下降。

预期未来经济变差，HYB才会相对于IG的价值下降。

A选项steepening of benchmark yield volatility curve错在volatility，如果说steepening of benchmark yield curve，则表明经济正在变差，央行采取宽松货币政策，使得收益率曲线变陡峭，但是如果收益率volatility曲线变陡峭的话，表明短期volatility相对于长期volatility在变小，表明经济在向好，所以未来HYB是比IG更好的。反之，如果收益率volatility曲线变flatten，表明短期volatility相对于长期volatility在变大，经济在恶化。



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Carina9999 · 2024年01月10日

但是如果收益率volatility曲线变陡峭的话，表明短期volatility相对于长期volatility在变小，表明经济在向好。 这个知识点在哪里？ 老师能否解释一下？ 另外总结一下： 如果是benchmark yield curve 变得steep，说明经济变差； 如果是credit spread curve 变得steep，说明经济变好； 如果是volatility 曲线变steep，说明经济变好。 对吗？

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