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cika · 2022年12月07日

no default loss occur

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200003101

问题如下：

An active United States–based credit manager faces the following US and European

investment-grade and high-yield corporate bond portfolio choices:


The EUR IG and EUR HY allocations are denominated in euros, and the euro is expected to depreciate by 2% versus the US dollar over the next year.


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).

老师，求证下，当no default loss occur时，那么EXR公式中的第三项expected loss就不存在，对么。

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pzqa015 · 2022年12月07日

嗨，努力学习的PZer你好：


是的

这道题的解析不正确

----------------------------------------------
努力的时光都是限量版，加油！

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