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zxy · 2024年06月04日

不考虑default loss？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200003101

问题如下：

What is the approximate unhedged excess return to the United States–based credit manager for an international credit portfolio index equally weighted across the four portfolio choices, assuming no change to spread duration and no changes to the expected loss occur?

选项：

A.

–0.257%

B.

–0.850%

C.

0.750%

解释：

A is correct. We solve for the excess spread by subtracting Expected Loss from

the respective OAS:


Recall that the United States–based investor must convert the euro return to US dollars using RDC = (1 + RFC) (1 + RFX) – 1, so the USD IG and USD HY positions comprising half the portfolio return an average 0.80%, while the EUR IG and EUR HY positions return –1.314% in US dollar terms (= ((1 + ((0.65% + 0.75%)/2)) × 0.98) – 1), so –0.257% = ((0.80% – 1.314%)/2).

在其他的问题回答中老师说“题目说了no default loss occur”，但是题目说的是对于default loss的expect没有改变，不考虑default loss吗？

如果考虑的话，是如何计算的呢？

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1 个答案

发亮_品职助教 · 2024年06月04日

嗨，努力学习的PZer你好：


这道题以前的回复不再适用了哈。


因为这道题的题干信息做过改动。最开始的题干说：assuming no default occurs

现在题干改成了no changes to the expected loss occur，现在表达的含义是expected loss的数据没有发生改变，意思是直接利用表格里面的数据进行计算即可。


这道题是给了expected loss的，expected loss就是考虑违约情况下的损失，既然给了这个数据，那自然要考虑expected loss，只不过本题是假设expected loss的数据不发生改变，不是假设不发生违约哈。

旧题是假设违约不发生，新题是假设expected loss的数据不改变，所以整个题意都改了。


根据Excess spread return的计算为：

E = spread0 - duration×△spread - LGD×PD


假设计算EUE IG收益，带入数据为：

E = 1.15% - 4.75×0 - 0.50% = 0.65%


注意，0.65%这其实就是表格最后一列里面的数据，其实表格里面的最后一列E(excess spread)已经利用上面的公式把收益算好了


所以本题我们不需要计算超额收益excess spread return，我们只需把最后一列的收益率换算成USD，然后算组合的加权平均收益。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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