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屿川 · 2023年11月11日

请问应该如何理解mitigating downside risk?

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NO.PZ202210140100000203

问题如下:

The security analysis of BR Hotels is most likely focused on:

选项:

A.

mitigating downside risk

B.

adjusting the discount rate

C.

identifying potential opportunities

解释:

A is correct. The implementation of ESG factors in security analysis differs for equity analysis and fixed-income analysis. For BK Hotels’ corporate bonds, the focus of ESG integration is on mitigating downside risk. In contrast, in equity analysis, ESG integration is used to both identify potential opportunities and mitigate downside risk.

B is incorrect since adjusting the discount rate is typically used in equity analysis and not in fixed-income analysis. In valuing a stock, an analyst may choose to adjust the discount factor to account for the ESG risk. In fixed-income analysis, the credit spread or CDS is adjusted to reflect the ESG risk.

C is incorrect since identifying potential opportunities is used in equity analysis and not in fixed-income analysis. In fixed-income analysis, the focus of ESG integration is on mitigating downside risk. In equity analysis, ESG integration is used to both identify potential opportunities and mitigate downside risk.

我能理解ESG integration在债券分析的时候重点考虑下行风险,但“重点考虑”是怎么“mitigating”划等号的呀,mitigate不是减轻缓和的意思么?

1 个答案

王琛_品职助教 · 2023年11月13日

嗨,爱思考的PZer你好:


1

是的,mitigating downside risk 可以理解为降低下行风险

原理是这样的

2

如果不考虑 ESG 因素,那么也许一家公司的债券可能在我的投资标的范围内

因为风险在我的承受范围内

3

但是如果考虑了 ESG 因素,发现公司在 E,S,G 不同方面存在不同程度的风险,可能会影响到公司还本付息的现金流

那么我考虑 ESG 因素之后,对公司债券的估值,可能会做调整,比如增加公司的 credit spread

此时,因为公司的风险过高,也许会超出我所能投资的标的范围,所以可能就不投资公司了

所以通过分析整个 ESG 因素,避免了投资风险过高的公司,从而降低了投资方的下行风险

4

这道题是课后题第 9 题

同学可以再参考一下课后题第 10 题,解题思路请参考:https://class.pzacademy.com/qa/138971

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虽然现在很辛苦,但努力过的感觉真的很好,加油!