答案里这个0.98是个啥

* 问题详情，请查看题干

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 changes to the expected loss occur?

选项：

–0.257%

–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.

EUR HY positions return -1.314% in US dollar terms = (1 + ((0.65% + 0.75%)/2)) × 0.98) – 1

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1 个答案

发亮_品职助教 · 2025年01月26日

是EUR贬值2%，所以把EUR收益换成USD收益时，要乘以（1-2%），即乘以0.98：

（1+EUR收益） ×（1+(-2%)) = (1+USD收益)

即，（1+EUR收益） × 0.98 = (1+USD收益)

这是个case题，参考前面主题干的内容：

the euro is expected to depreciate by 2% versus the US dollar over the next year

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