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Rachel · 2024年07月24日

还是没搞明白收益曲线stable和收益曲线flat之间的关联

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000028

问题如下：

Which of the following statements best describes a credit curve roll-down strategy?

选项：

A.

Returns from a credit curve roll-down strategy can be estimated by combining the incremental coupon from a longer maturity corporate bond with price appreciation due to the passage of time.

B.

A synthetic credit curve roll-down strategy involves purchasing protection using a single-name CDS contract for a longer maturity.

C.

A credit curve roll-down strategy is expected to generate a positive return if the credit spread curve is upward sloping.

解释：

C is correct. A credit curve roll-down strategy will generate positive return only under an upward-sloping credit spread curve.

As for A, the benchmark yield changes must be separated from changes due to credit spreads, and under B, a synthetic credit roll-down strategy involves selling protection using a single-name CDS contract for a longer maturity.

所以，A句话的表述是有问题的，正确的表示是加上assuming flat benchmark yield curve这句话。



还是没搞清楚怎么判断收益曲线stable：stable曲线不变吧？是指上倾还是水平？什么时候曲线stable时指的是曲线水平flat？ 收益曲线不变代表Duration不变吗？可否请老师详细解释一下

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发亮_品职助教 · 2024年07月24日

还是没搞清楚怎么判断收益曲线stable：stable曲线不变吧？是指上倾还是水平？


Stable yield curve是指利率曲线没有发生平行移动，没有发生形状的改变，期初与期末的利率曲线都是长一个样子。

就比如，今天的1年期利率是1%，5年期利率是5%，一个月之后，1年期利率还是1%，5年期利率还是5%。市场上的利率并未发生改变。

那么从1个月之前，到现在，我们说曲线是一个稳定的、stable曲线。


stable只是强调这期间利率曲线并未发生移动、改变。至于是向上倾斜还是水平，还是向下倾斜，这个都无所谓。要看期初的状态。

如果期初是一个向下倾斜的yield curve，且这是一个stable，那么期末也还是一个向下倾斜的yield curve

如果期初是一个向上倾斜的yield curve，且是stable，那么期末也还是一个向上倾向的yield curve。

stable只能判断期末的曲线和期初一样，至于期末的曲线具体是向上还是向下，要看期初的利率状态。


什么时候曲线stable时指的是曲线水平flat？


曲线的upward-sloping, inverted, flat，这是指曲线的形状

曲线stable，是指期初与期末的利率曲线形状没有改变。


stable只能判断期末的曲线和期初一样，至于期末的曲线具体是向上、向下还是水平，要看期初的利率状态。

只要题目说期初是flat曲线，且stable，那可知期末也是flat曲线。


收益曲线不变代表Duration不变吗？


不是一个概念哈。

Duration是债券自身的风险指标，随着债券的期限变动，duration会变，duration也是利率的函数，随着利率发生改变，债券自己的风险指标duration也会变动。


收益率曲线就是利率曲线哈，反应的是市场利率/价格信息，一般不用收益率曲线改变来分析duration如何变。

两个理解成一定程度的独立，不存在曲线不变就代表duration不变的关系。一般题目说利率曲线不变，or利率曲线改变，就单纯考虑曲线的形状，不用再额外分析duration的情况。因为duration的情况题目会给。


选项A是在credit curve，即在信用风险曲线上做rolldown return。注意，信用风险曲线不是债券的收益率曲线，债券的收益率曲线是（基准利率benchmark rate + 信用风险credit spread）。选项A说的credit curve相当于是把其中的信用风险单独拿出来，来考虑rolldown的收益，这里面没有benchmark rate基准利率的影响。


选项A说，在Credit cruve曲线上做rolldown strategy，收益来源是：incremental coupon以及price appreciation due to the passage of time。


债券的incremental coupon收益既有来自于信用风险的部分，又有来自于benchmark rate的部分，同时，随着时间的流逝，这个price appreciation既有来自于信用风险rolldown的收益部分，又有来自于benchmark rate的rolldown收益部分。

而在Credit curve曲线上做策略，收益只能来自于债券的信用风险。相当于选项A说的收益太多了，benchmark rate那部分的收益不属于credit curve strategy的收益。


选项A改成正确的应该是，增加以下描述：

by combining the incremental coupon related to credit risk from a longer maturity corporate bond with price appreciation related to credit risk due to the passage of time.

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