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Stella · 2024年08月06日

关于DTS

NO.PZ2023032703000076

问题如下:

Which of the following regarding the shape of the credit spread curve for high-yield issuers is most accurate?

选项:

A.

High-yield credit spread curves change shape more over the cycle than investment-grade ones do and usually invert during the peak phase.

B.

Investors should exercise caution in interpreting credit spread curve shape for distressed debt issuers because their bonds tend to trade on a price rather than credit spread basis as the likelihood of default increases.

C.

High-yield credit spread curves often invert because of the empirical observation that DTS is the best way to measure high-yield bond price changes

解释:

B is correct. Investors should exercise caution in interpreting credit spread curve shape for distressed debt issuers because their bonds tend to trade at a price close to the recovery rate. A is incorrect because the high-yield spread curve tends to invert during a contraction, while C is incorrect because a high-yield curve inversion is related to the relationship between near-term and long-term default as opposed to DTS.

我记得听原版书习题课or经典题习题课的时候老师说dts对于high yiled不适用,因为用price来衡量垃圾债更合适,但是助教给别的回答里说dts可以衡量high yield,请问到底dts用于衡量什么类型债券合适

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已采纳答案

发亮_品职助教 · 2024年08月07日

DTS就是用于lower-rated bond (High yield bond)的,分析高等级债券直接看spread即可。

正常交易的垃圾债,他们的交易与报价也是基于price和spread,因为spread和price是一一对应的,他们反应的是同一个信息,一个price可以算出一个spread。只不过垃圾债市场偏好于交易price报价


而DTS是表达一种现象,就是:对于低等级的债券,他们的spread改变是和spread duration成比例的,也就是spread duration越大的债券,他们的spread改变就越大。所以对于这类债券就算了DTS来反映这个现象


参考原版书下页内容:



Distressed bond濒临破产的债券,他们的定价原则发生改变,不再基于spread和正常现金流定价,他们要基于违约定价,所以是只看price,且这个交易价price比较接近于其recovery

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