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Gogo冲 · 2022年02月11日

A不明白，错误的原因不是因为roll down并不包含incremental coupon吗？

  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.

A不明白，错误的原因不是因为roll down 并不是coupon的incremental吗

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2 个答案

pzqa015 · 2022年11月19日

嗨，努力学习的PZer你好：


不是，是长期债相对于短期债多出来的coupon。

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pzqa015 · 2022年02月12日

嗨，从没放弃的小努力你好：


不是因为incremental coupon哈，由于债券价格是与现金流的折现求和，因此，长期债券的价格反映了长期债券相对于短期债券的incremental coupon，所以说incremental coupon是没问题的。

这句话错在缺少在句末加上类似“assuming the fixed benchmark yield”这样的表述，也即，应该加上假定基准利率是不变的这样一个条件（注意，是利率不变不是利率曲线不变），原因如下：

credit curve roll down strategy是随着时间的流逝，长期credit spread下降带来的price aprreciation。由于yc=yb+spread，那么要计算长期credit spread下降带来的price appreciation，就要假定yb是不变的，这样衡量的price appreciation才可以完全反映出spread变化导致yc变化进而导致Price的变化，缺少这句话，仅仅说passage of time导致的price appreciation，相当于只说yc变化，并没有说yc变化是因为什么引起的，有可能yb变化使得yc变化进而使得price变化，那么这样计算的credit rolldown return不再准确。

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gogogo · 2022年11月19日

incremental coupon 可以理解为因为spread 的存在，导致coupon RI 收益增加？

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