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cika · 2023年01月29日

bonds sensitive to interest rate changes and credit migration

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NO.PZ202209060200004402

问题如下:

Are Choate’s comments regarding the risk considerations for investment-grade bonds compared to high-yield bonds most likely correct?

选项:

A.No, he is incorrect with respect to investment-grade bonds. B.Yes. C.No, he is incorrect with respect to high-yield bonds.

解释:

Solution

B is correct. Investment-grade bonds have lower credit and default risks than high-yield bonds and are more sensitive to interest rate changes and credit migration, which cause credit spread volatility. The much higher credit loss rate experienced with high-yield bonds results in an emphasis on credit risk and the market value of the position to evaluate high-yield risk.

A is incorrect because Choate is correct with respect to both investment grade and high yield bonds.

C is incorrect because Choate is correct with respect to both investment grade and high yield bonds.

老师,答案说Investment-grade bonds have lower credit and default risks than high-yield bonds and are more sensitive to interest rate changes and credit migration。我觉得high-yield bonds are more sensitive to interest rate changes and credit migration。麻烦老师讲下,谢谢

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已采纳答案

pzqa015 · 2023年01月30日

嗨,努力学习的PZer你好:


HYB have lower price sensitivity to interest rate changes than IG bond。原理如下:

price sensivity to investment rate change指的是债券价格对基准利率变化的影响程度,或者说基准利率变化1单位,债券价格变化多少。

根据yC=yB+spread,实务中我们观察到spread与yB变化负相关,比如yB下降,表明经济衰退时央行采取扩张的货币政策引导基准利率下降,但衰退时公司经营恶化,公司债风险比变大,所以spread变大,正是由于spread与基准利率的负相关,导致spread对基准利率有抵消作用。

例如:yb下降1%,如果没有spread,yc也会下降1%,但有了spread后,面对yb下降,spread可能会变大0.5%,导致yc下降幅度小于yb下降幅度,这种现象在HYB身上尤为明显,因为经济衰退时,HYB的信用风险更大,spread上涨的更多,所以抵消作用更大,故对于HYB来说,面对yb下降带来的yC下降更少,同时,由于Price是根据yc求出来的,所以yc变化小,那么HYB的price变化就小,也即对基准利率的变化less sensitivity。

yb上涨1%,如果没有spread,yc也会上涨1%,但有了spread后,面对yb上涨,spread可能会下降0.5%,导致yc的上涨幅度小于yb的上涨幅度,这种现象在HYB身上尤为明显,因为经济变好时,HYB的信用风险下降的更多,spread下降的更多,抵消作用更大,故对于HYB来说,面对yb上涨带来的yc上涨更少。

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