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dognmnm · 2023年03月04日

Steepening of the benchmark yield 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.

不是特别理解a的表述: Steepening of the benchmark yield volatility curve.

是说短期波动下降所以增加而非减少future value of the high-yield portfolio吗?

2 个答案

pzqa015 · 2023年03月10日

嗨,努力学习的PZer你好:


波动是对当下风险的市场反应。曲线波动通常都是短端的波动,就像你手握一根绳子,甩动绳子,离你手距离最近的地方波动最大,长短的波动会被慢慢消化。所以,如果波动率曲线变抖,意味着短期风险下降,变平,意味着短期风险上升。可以认为长期的波动率是几乎不变的。

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pzqa015 · 2023年03月06日

嗨,努力学习的PZer你好:


这道题问的是什么时候HYB相对于IG的价值下降,那么有两个结论要记住:经济表现好时,HYB相对IG的价值上升,经济表现差时,HYB相对于IG的价值下降,所以,这道题的问题就变成了什么时候经济会变差。

A选项:收益率波动率曲线变陡,收益率波动率曲线与收益率曲线是两回事,收益率波动率曲线变陡,意味着短期波动率下降,也就是短期风险下降,是经济变好的迹象;收益率曲线变陡,意味着短期利率下降,是经济变差的迹象。所以,A选项说收益率波动率曲线变陡,意味着经济表现好而不是表现差,A选项不选。

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wenting12 · 2023年03月10日

追加一个问题,为什么steepen benchmark yield volatility curve, 不可以是ST volatility上升+LT volatility上升更多所带来的steepen吗?如果这样想的话,HY价值就下降啊?

dognmnm · 2023年03月10日

波动不存在方向性吧?

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