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

Becky0210 · 2024年08月03日

请问0.98怎么来的？

  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).

请问0.98怎么来的？

添加评论
1 个答案
已采纳答案

pzqa31 · 2024年08月03日

嗨，从没放弃的小努力你好：


题干说了：the euro is expected to depreciate by 2% 


这道题计算过程是错误的，题目说了no default loss occur，所以，不需要考虑EXR计算公式的第三项EL，同时，没有给出spread的变动信息，所以，第二项△spread*ED这一项也没法计算。

只能用第一项OAS来计算。

对于US IG与US HY来说，EXR=OAS

对于EUR IG与EUR HY来说，由于是跨国投资，需要考虑汇率的变动，所以EXR=（1+OAS）(1+RFX)-1,RFX=-2%。

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%。

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

  • 1

    回答

  • 0

    关注

  • 155

    浏览
相关问题

NO.PZ202112010200003101 问题如下 Whis the approximate unheeexcess return to the Unitetates–basecret manager for internationcret portfolio inx equallyweighteacross the four portfolio choices, assuming no change to spreration anno changes to the expecteloss occur? A.–0.257% B.–0.850% C.0.750% A is correct. We solve for the excess sprebysubtracting ExpecteLoss fromthe respective OAS:Recall ththe UniteStates–baseinvestor mustconvert the euro return to US llars using R =(1 + RF(1 + RFX)– 1, so the USIG anUSHY positions comprising half the portfolio return average0.80%, while the EUR IG anEUR HY positionsreturn –1.314% in US llterms (= ((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 fault loss occur”，但是题目说的是对于fault loss的expect没有改变，不考虑fault loss吗？如果考虑的话，是如何计算的呢？

2024-06-04 10:48 1 · 回答

NO.PZ202112010200003101 问题如下 Whis the approximate unheeexcess return to the Unitetates–basecret manager for internationcret portfolio inx equallyweighteacross the four portfolio choices, assuming no change to spreration anno changes to the expecteloss occur? A.–0.257% B.–0.850% C.0.750% A is correct. We solve for the excess sprebysubtracting ExpecteLoss fromthe respective OAS:Recall ththe UniteStates–baseinvestor mustconvert the euro return to US llars using R =(1 + RF(1 + RFX)– 1, so the USIG anUSHY positions comprising half the portfolio return average0.80%, while the EUR IG anEUR HY positionsreturn –1.314% in US llterms (= ((1 + ((0.65% + 0.75%)/2)) × 0.98) – 1), so –0.257% = ((0.80% – 1.314%)/2). 1-0.02 还是 1除以1.02

2024-01-25 21:33 1 · 回答

NO.PZ202112010200003101 问题如下 Whis the approximate unheeexcess return to the Unitetates–basecret manager for internationcret portfolio inx equallyweighteacross the four portfolio choices, assuming no change to spreauration anno fault losses occur? A.–0.257% B.–0.850% C.0.750% A is correct. We solve for the excess sprebysubtracting ExpecteLoss fromthe respective OAS:Recall ththe UniteStates–baseinvestor mustconvert the euro return to US llars using R =(1 + RF(1 + RFX)– 1, so the USIG anUSHY positions comprising half the portfolio return average0.80%, while the EUR IG anEUR HY positionsreturn –1.314% in US llterms (= ((1 + ((0.65% + 0.75%)/2)) × 0.98) – 1), so –0.257% = ((0.80% – 1.314%)/2). 公式里最后一项expecteloss，不是预期损失吗，和是否发生违约有关系吗？是否能需要计算最后一项

2023-08-26 14:46 2 · 回答

NO.PZ202112010200003101 问题如下 Whis the approximate unheeexcess return to the Unitetates–basecret manager for internationcret portfolio inx equallyweighteacross the four portfolio choices, assuming no change to spreauration anno fault losses occur? A.–0.257% B.–0.850% C.0.750% A is correct. We solve for the excess sprebysubtracting ExpecteLoss fromthe respective OAS:Recall ththe UniteStates–baseinvestor mustconvert the euro return to US llars using R =(1 + RF(1 + RFX)– 1, so the USIG anUSHY positions comprising half the portfolio return average0.80%, while the EUR IG anEUR HY positionsreturn –1.314% in US llterms (= ((1 + ((0.65% + 0.75%)/2)) × 0.98) – 1), so –0.257% = ((0.80% – 1.314%)/2). 如题

2023-07-31 23:14 1 · 回答