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梦梦 · 2024年08月26日

spread和loss rate的关系

NO.PZ2023091701000167

问题如下:

A quantitative analyst is preparing a performance report of a corporate bond portfolio. For the previous 1-year period, the analyst finds that the return on the portfolio was 4.4% and decomposes this return as follows:

  • Return attributable to the risk-free interest rate: 3.4%
  • Return attributable to the credit spread: 2.0%
  • Loss rate over the period: 1.0%
When observing the portfolio’s returns over a 3-year period, the analyst notes that the difference between the portfolio’s return attributable to the credit spread and its loss rate remained positive and varied from 0.7% to 1.3% each year. Which of the following would the analyst be correct to identify as the most likely explanation for the persistent positive difference between the credit spread and the loss rate?

选项:

A.Bond investors are being compensated for their exposure to systematic risk.

B.Credit spreads are specifically set by market makers to be greater than loss rates.

C.Corporate bonds have more liquidity than risk-free sovereign debt.

D.Credit spreads tend to be negatively correlated with interest rates.

解释:

A is correct. The main reason that the return on corporate bonds tends to be persistently greater than the risk-free interest rate (which would be the case if the return attributable to credit spread was exactly offset by the loss rate) is that the default risk in bonds cannot be fully diversified away and therefore the portfolio is exposed to systematic risk that must be compensated for.

In other words, investors are compensated for the additional risk that a wave of defaults might occur all at once, although this does not happen during normal market conditions (and did not happen in the three-year period observed by the analyst). If defaults were truly independent one would expect the gap between credit spreads and loss rates to be much smaller.

B is incorrect. Credit spreads are determined by the market and fluctuate based on market perceptions. They can be higher or lower than loss rates, and often converge towards loss rates during times of crisis.

C is incorrect. Corporate bonds have less liquidity than risk-free sovereign debt, and the lower liquidity might be a contributing factor to the higher returns.

D is incorrect. This does not explain the relationship between returns and the loss rate.

老师好:

问题1:

C Corporate bonds have more liquidity than risk-free sovereign debt.

公司债的流动性比无风险利率但是主权债券流动性差?为什么啊?感觉公司债的流动性要比主权债券的流动性高吧?

问题2:

D.Credit spreads tend to be negatively correlated with interest rates.

讲到这题时,说到,一般经济差的时候无风险利率水平高,spread也高,这是为什么呢?spread不是公司债收益率减去无风险利率吗?无风险利率高了,减去后,spread不是该变小吗?

3 个答案

pzqa39 · 2024年09月18日

嗨,爱思考的PZer你好:


如果是像这道题目在讨论Credit spreads的话,可以这样去记

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努力的时光都是限量版,加油!

pzqa39 · 2024年09月17日

嗨,从没放弃的小努力你好:


在极端经济危机中,投资者可能会担心政府的财政状况恶化,导致信用风险上升。这种情况可能会推高政府债券的收益率,进而导致无风险利率上升。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

梦梦 · 2024年09月18日

哦,好的,谢谢

梦梦 · 2024年09月18日

是不是可以记结论,经济形势差时,公司债收益率变高,无风险利率变高,spead变高。

pzqa39 · 2024年08月27日

嗨,从没放弃的小努力你好:


1、主权债券通常比公司债券具有更高的流动性。主权债券,尤其是美国国债等无风险主权债务,市场深度非常大,交易量也非常高。这意味着无论是在正常市场条件下还是在市场波动较大的情况下,投资者都能相对容易地买卖主权债券,而不会显著影响价格。主权债券是全球投资者(包括中央银行、金融机构、养老基金等)的主要投资对象,参与者众多,特别是那些由信用良好的国家发行的债券,通常被视为无风险或低风险的投资工具。较低的信用风险使其更受欢迎,也因此交易更频繁,流动性更高。

相比之下,公司债券的流动性较差,特别是较小或信用评级较低的公司发行的债券,其市场需求相对较小,买卖时可能会遇到价格波动较大的情况。此外,公司债券的市场参与者相对较少,市场深度也较浅,这导致在市场压力较大的情况下,公司债券可能更难以迅速变现。


2、当经济表现不佳时,公司的盈利能力和偿债能力可能会下降,导致违约风险增加。投资者为了补偿这种更高的风险,通常会要求更高的收益率,因此公司债券的收益率会上升,信用利差扩大。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

梦梦 · 2024年09月16日

那当经济表现不佳时,无风险利率是变大还是变小?

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