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恒源祥_🐑🐑🐑 · 2022年05月01日

这道题要考虑reinvestment的影响么

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000011

问题如下：

A junior analyst considers a 10-year high-yield bond issued by EKN Corporation (EKN) position in a high-yield portfolio. The bond has a price of 91.82, a modified duration of 8.47, and a spread duration of 8.47.

The analyst speculates on the effects of an interest rate increase of 20 bps and, because of a change in its credit risk, an increase in the EKN bond’s credit spread of 20 bps.

The analyst comments that because the modified duration and the credit spread duration of the EKN bond are equal, the bond’s price will not change (all else being equal) in response to the interest rate and credit spread changes.

Is the analyst’s prediction correct that the EKN bond price will not change in response to the interest rate and credit spread changes, all else being equal?

选项：

A.

Yes.

B.

No, the bond price should decrease.

C.

No, the bond price should increase.

解释：

B is correct. An increase in interest rates results in a decrease in the bond price. An increase in the credit spread also results in a decrease in the bond price.

For the EKN bond, its modified duration shows the effect of the 20 bp increase in interest rates. The approximate percentage price change resulting from the increase in interest rates is –8.47 × 0.0020 = –1.694%.

The spread duration shows the effect of the 20 bp increase in the credit spread. The approximate percentage price change resulting from the increase in the credit spread is –8.47 × 0.0020 = –1.694%. The combined effect is a total change of –3.388%, or a price decrease of roughly 3.4%

这道题要考虑reinvestment的影响么，题库里有一道题是对比了债券期限和mac duration的影响，分别代表了reinvestment risk和价格的变动，之后得出收益会受到影响

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1 个答案

pzqa015 · 2022年05月02日

嗨，爱思考的PZer你好：


不考虑，这道题考察的是基准利率与spread同时上升20BP，对债券价格的影响，根据△P/P=-MD*△y，二者分别会引起债券价格下跌。

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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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