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莉莉 · 2022年04月13日

请问为什么这句话“The price sensitivity of high-yield bonds to interest rate changes is typically lower than that of investment-grade bonds. ”错了？

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000010

问题如下：

Which of the following statements best describes empirical duration?

选项：

A.

A common way to calculate a bond’s empirical duration is to run a regression of its price returns on changes in a benchmark interest rate.

B.

A bond’s empirical duration tends to be larger than its effective duration.

C.

The price sensitivity of high-yield bonds to interest rate changes is typically higher than that of investment-grade bonds

解释：

A is correct. A bond’s empirical duration is often estimated by running a regression of its price returns on changes in a benchmark interest rate.

请问为什么这句话“The price sensitivity of high-yield bonds to interest rate changes is typically lower than that of investment-grade bonds. ”错了？

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4 个答案

pzqa015 · 2023年02月01日

嗨，努力学习的PZer你好：


analytical duration就是effective duration吧

--

是的

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加油吧，让我们一起遇见更好的自己！

WOO2019 · 2023年02月01日

analytical duration就是effective duration吧

pzqa015 · 2023年01月07日

嗨，爱思考的PZer你好：


你例子里面spread的抵消作用已经远远超过了yb的变动，导致yc与yb是反方向变化，这是不合乎逻辑的。

正常情况下，yb上升1%，由于spread的抵消作用，yc上升不到1%，但yc与yb是同向变化的，此时债券价格是下降的而不是你举例子那样是上升的。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa015 · 2022年04月14日

嗨，从没放弃的小努力你好：


这句话说反了，HYB对利率的敏感程度比IG要低。

这里的interest rate change是指基准利率yb，根据yc=yb+spread，yb变化，传导至yc变化，进而引起债券价格的变化，这就是Price sensitivity。

我们有个结论，spread与yb变化负相关，这种负相关程度在HYB上体现的更多，所以，同样的yb变化，由于HYB的spread反方向变化更多，导致HYB的yc变化较IG的yc变化要小很多，进而引起HYB的债券价格变化要小于IG的债券价格变化。


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努力的时光都是限量版，加油！

Zwwei · 2022年07月31日

这是讲义哪一页的内容呀？

shajia · 2022年08月23日

这个回答哈哈哈

Felix Young · 2023年01月07日

老师好，就回复继续请教下。 根据yc=yb+spread ， 打比方： 初始状态下 yb=4%, hyb的spread=5%、IG的spread=2%， 则hyb的yc=9%、 ig的yc=6%； 当 yb上升△=1%后， 假设hyb spread 下降更多 △=-2%，ig spread 下降更少 △=-1%，此时 hyb yc'=5%+3%=8%, ig yc'=5%+1%=6% 这时候 hyb 的变动依旧比 IG的变动更大，进而引起HYB的债券价格变化要大于IG的债券价格变化？ 不知道这么思考是哪里出问题了？

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