开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

穿行 · 2024年06月02日

C为什么不对

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000010

问题如下：

Which of the following statements best describes empirical duration?

选项：

A.

A common way to calculate a bond’s empirical duration is to run a regression of its price returns on changes in a benchmark interest rate.

B.

A bond’s empirical duration tends to be larger than its effective duration.

C.

The price sensitivity of high-yield bonds to interest rate changes is typically higher than that of investment-grade bonds

解释：

A is correct. A bond’s empirical duration is often estimated by running a regression of its price returns on changes in a benchmark interest rate.

C:The price sensitivity of high-yield bonds to interest rate changes is typically higher than that of investment-grade bonds


添加评论
2 个答案

发亮_品职助教 · 2024年07月22日

参考LM 4的标题empirical duration这个视频；Or讲义275页

发亮_品职助教 · 2024年06月03日

嗨，努力学习的PZer你好：


C选项说反了。


主题干讨论的是empirical duration，三个选项都是关于Empirical duration的讨论哈。

关于empirical duration正确的结论就是，high-yield bond的empirical duration要小于investment-grade bond的empirical duration


原因是empirical duration是利用债券的实际价格变动和Benchmark rate的改变做的回归。即：

y = a + bx + 残差项


其中因变量y就是债券价格的实际改变，而x自变量就是benchmark rate的改变，回归出来的系数b，其含义就是benchmark rate变动1单位时，债券的实际价格变动多少单位，所以系数b本质就是empirical duration。


对于公司债来讲，当benchmark rate改变时，债券的实际价格波动，也就是因变量y是比较小的，所以1单位x改变带来的y改变较少，于是回归出来的系数b,empirical duraiton较小。

而同样一单位的benchmark rate改变，投资级别的债券investment grade bond的价格改变y较大，所以回归出来的系数b，empirical duration较大。


原因就是high-yield bond会出现较大的benchmark rate与credit spread的反向抵消变化，这导致债券的YTM改变不大，于是导致HYB的价格波动不大。


比如，benchmark rate上升1%，而HYB的Credit spread下降0.8%，于是HYB债券的YTM只上升了0.2%，基于0.2%的YTM改变，HYB的实际价格波动比较小。


利用HYB较小的实际价格波动（因变量y）和benchmark rate的改变1%（自变量x）做回归算出来的系数empirical duration就较小。


而对于Investment grade bond来讲，benchmark rate上升1%，其credit spread只下降0.1%，于是债券的YTM上升0.9%，基于这样的YTM改变，其实际价格波动较大。

于是基于较高的实际价格变化和Benchmark rate上升1%做回归出来的empirical duration就较大。


总结下：越是垃圾债，benchmark rate与credit spread的反向变化关系就越明显，其价格对benchmark rate的敏感度就越低，因为benchmark rate的改变绝大部分被credit spread反向改变抵消了，最终引起的价格变动就小，所以HYB对benchmark rate就不敏感，即，empirical duration小，小于Investment grade bond的ED。

----------------------------------------------
努力的时光都是限量版，加油！

fanfan1989 · 2024年07月05日

每次看到是发亮老师写的回答，就放心了，肯定能讲清楚

缨水珞 · 2024年07月22日

这个知识点在哪个Module的哪个知识点下面？帮忙定位下，谢谢老师

  • 2

    回答

  • 4

    关注

  • 251

    浏览
相关问题

NO.PZ2021120102000010 问题如下 Whiof the followingstatements best scribes empiricration? A.A common wto calculate a bons empiricration is to run aregression of its prireturns on changes in a benchmark interest rate. B.A bons empiricration ten to larger thits effective ration. C.The prisensitivity of high-yielbon to interest rate changes is typically higher ththof investment-gra bon Ais correct. A bons empiricration is often estimaterunning aregression of its prireturns on changes in a benchmark interest rate. 拜托老师帮忙复习一下，为什么HY的sensitivity小于IG的？

2024-07-18 21:57 2 · 回答

NO.PZ2021120102000010 问题如下 Whiof the followingstatements best scribes empiricration? A.A common wto calculate a bons empiricration is to run aregression of its prireturns on changes in a benchmark interest rate. B.A bons empiricration ten to larger thits effective ration. C.The prisensitivity of high-yielbon to interest rate changes is typically higher ththof investment-gra bon Ais correct. A bons empiricration is often estimaterunning aregression of its prireturns on changes in a benchmark interest rate. 问题1: 请问老师，教材原文对于empiricration 的是什么？问题2: 请问老师 empiricration 衡量的是价格对yc变化的敏感程度，还是价格对yb变化的敏感程度呢？我的理解应该是价格对于yc变化的敏感程度，只有这样，sprea变化和benchmark 的变化才能相互抵消。基于问题2里我对于empiricration的理解，我认为A不对，因为A写的是对于benmark利率的回归得出了empiricration。请老师做解读，谢谢。

2024-05-25 17:48 3 · 回答

NO.PZ2021120102000010问题如下 Whiof the followingstatements best scribes empiricration? A.A common wto calculate a bons empiricration is to run aregression of its prireturns on changes in a benchmark interest rate.B.A bons empiricration ten to larger thits effective ration.C.The prisensitivity of high-yielbon to interest rate changes is typically higher ththof investment-gra bon Ais correct. A bons empiricration is often estimaterunning aregression of its prireturns on changes in a benchmark interest rate. B为什么错了？没看懂其他的回答

2024-01-26 01:10 1 · 回答

NO.PZ2021120102000010 问题如下 Whiof the followingstatements best scribes empiricration? A.A common wto calculate a bons empiricration is to run aregression of its prireturns on changes in a benchmark interest rate. B.A bons empiricration ten to larger thits effective ration. C.The prisensitivity of high-yielbon to interest rate changes is typically higher ththof investment-gra bon Ais correct. A bons empiricration is often estimaterunning aregression of its prireturns on changes in a benchmark interest rate. yC=yB+spreaC 和 YB分别代表什么呢？

2024-01-22 20:15 1 · 回答