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EvanWu · 2022年02月24日

能写个计算过程吗？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200003101

问题如下：

What is the approximate unhedged excess return to the United States–based credit manager for an international credit portfolio index equally weighted across the four portfolio choices, assuming no change to spread duration and no default losses occur?

选项：

A.

–0.257%

B.

–0.850%

C.

0.750%

解释：

A is correct. We solve for the excess spread by subtracting Expected Loss from

the respective OAS:


Recall that the United States–based investor must convert the euro return to US dollars using RDC = (1 + RFC) (1 + RFX) – 1, so the USD IG and USD HY positions comprising half the portfolio return an average 0.80%, while the EUR IG and EUR HY positions return –1.314% in US dollar terms (= ((1 + ((0.65% + 0.75%)/2)) × 0.98) – 1), so –0.257% = ((0.80% – 1.314%)/2).

感觉同学提问的讲解也是错的，题目只说了spread duration不变，又没说spread不变，怎么excess return就等于OAS了？

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1 个答案

pzqa015 · 2022年02月26日

嗨，爱思考的PZer你好：


虽然没说spread不变，但是也没说spread改变了多少，那么第二项△spread*ED是等于零的，同时，No default说明第三项EL也等于0，所以EXR就等于初始的OAS。

这道题主要想考察的是RDC=(1+RFC)(1+RFX)这个公式的计算。

本题RDC是USD收益，RFC是EUR收益，RFX是欧元对美元的汇率变动。

根据这个公式，US based portfolio投资EUR IG后换算成美元的收益为：（1+1.15%）（1-2%）-1=-0.8730%

US based portfolio 投资EUR HY后换算成美元的收益为：（1+3.25%）（1-2%）-1=1.185%

题目说了portfolio中四种投资是equally weighted，那么组合的EXR就是

（1.25%+3%-0.8730%+1.185%）/4


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