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涟在 · 2023年01月10日

不是很懂volatility curve

NO.PZ2021120102000033

问题如下:

An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.

Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?

选项:

A.

Steepening of the benchmark yield volatility curve.

B.

Decreased likelihood of an economic slowdown.

C.

Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).

解释:

C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.

This relationship is captured in the difference between empirical and analytical duration measures.

收益率波动率曲线变陡峭,一方面可能的是短期收益率波动率下降(短期经济变好),另一方面也可能是长期收益率波动率上升(长期经济变差)。如果按照答案来看,我们这里考察的是短期?如何判断呢

3 个答案

pzqa015 · 2023年04月22日

嗨,从没放弃的小努力你好:


嗯嗯 ,波动率曲线变陡,短期波动率下降,波动率曲线扁平,短期波动率上升(不是长期波动率上升)

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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 · 2023年03月31日

嗨,爱思考的PZer你好:


是的

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努力的时光都是限量版,加油!

pzqa015 · 2023年01月11日

嗨,努力学习的PZer你好:


经济好坏,最先影响的是短期的波动率,这里可以形象的理解为手里握住一根绳子,甩动手的话,离手距离最近的地方波动越大,越远的地方波动越小。经济体发生扰动事件,最先影响的是短期,会导致短期的风险发生变化,所以,如果波动率曲线变陡,一定是短期波动率下降;波动率曲线变平,一定是长期波动率上升。

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努力的时光都是限量版,加油!

Yiyun · 2023年03月31日

(如果波动率曲线变陡,一定是短期波动率下降;波动率曲线变平,一定是长期波动率上升)这是一个普适的结论么

005 · 2023年04月22日

这里结论是否有些问题,波动率曲线变平 应该是短期波动率上升吧

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