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Chasechoi · 2022年04月23日

A为什么错

  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为什么错 

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1 个答案

lynn_品职助教 · 2022年04月24日

嗨，努力学习的PZer你好：


这里题目如何问我们要格外注意。


rolldown return其实按照Equation 1（收益率5分解模型），就单指价格升值部分，不包含coupon income，Coupon income我们是单算的，如下图。


如下图：


题目问roll down strategy（Riding the yield curve）的收益，该策略的收益包含两部（静态的Coupon收益 + 动态的价格上升）。如果题目单问roll down return，那就专指收益率五分解模型里面的第二项（债券价格上升）


再就是


roll down strategy（Riding the yield curve），可以在整条收益率曲线上做riding，也可以像本题一样，只在credit curve上做riding，在不同的收益率曲线上做riding时，投资收益来源是有一点区别的。


在整条收益率曲线上做riding，收益是：（所有的coupon + YTM改变对债券价格的影响），其中YTM的改变包含benchmark YTM roll down与Credit spread roll down。


而在Credit curve上做riding，收益是：（Incremental coupon + credit spread改变对债券价格的影响），其中incremental coupon就是只与信用风险相关的Coupon，且价格上升部分也只与Spread改变有关。所以，A句话的表述是有问题的。


不同曲线上做riding描述会有差异，需要留意

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