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常晓磊 · 2023年12月05日

investment-grade bond 为什么对credit migration 更敏感

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

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.

investment-grade bond 为什么对credit migration 更敏感

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2 个答案

pzqa015 · 2023年12月05日

嗨，努力学习的PZer你好：


HYB只关注债券是否违约，重点关注债券价格变化，而不会关注credit spread的变化；

IG更关注credit spread的变化，包括credti migration带来的spread变化。

这是金融实务。

所以说IG对credit migration更敏感。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

蘑菇 · 2023年12月05日

股票看机会和收益，债券看风险和信用危机

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