NO.PZ202303270300007701
问题如下:
(1) 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 default losses occur?
选项:
A.–0.257%
–0.850%
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.
我看到助教老师的回答:
所以,EXR(US IG)=1.25%;EXR(US HY)=3.00%;EXR(EUR IG)=-0.873%;EXR(EUR HY)=1.18%。
所以portfolio 的EXR=1/4(1.25%++3%-0.873%+1.18%)=1.14%。
最终答案是1.14%是吗?