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15363567771 · 2023年02月04日

解題思路

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004003

问题如下：

If Puhuyesva’s focus is avoiding credit quality deterioration, which of the South American debt indexes should most likely be chosen on the basis of the information in Exhibit 2?

选项：

A. RFS

B. DS

C. BSCA

解释：

Solution

C is correct. Compared with other weighting schemes, such as equally weighted, value-weighted indexes are tilted toward issuers with higher levels of debt. The more an issuer or sector borrows, the greater the tilt toward that issuer in the index. Leverage and creditworthiness are negatively correlated, so a value-weighted index will be more susceptible to credit quality deterioration than an equally weighted index will be. BSCA is an equally weighted index, whereas the others are value weighted.

A is incorrect because RFS is a value-weighted index.

B is incorrect because DS is a value-weighted index.

這題可以通過判斷未來credit spread升高，要降低duration來選擇最小duration的portfolio 嗎？
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1 个答案

pzqa015 · 2023年02月05日

嗨，从没放弃的小努力你好：


不是的。

duration是基准利率变动对债券价格的影响，spread duration是spread变动对债券价格的影响，本题给了duration，但没有spread duration信息。

考察的是三个portfolio的weight方法，如果想避免陷入信用恶化恶化，应该选择平均分布的index，而不能用value weighted的index，后者的缺点是发行市值越大的，权重越高，而发行市值越大往往隐含着违约的可能性增加。

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努力的时光都是限量版，加油！

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