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eee · 2019年05月23日

官网题目,关于投资级和投机级债券比较




Choate elaborates on the different risk considerations he attributes to investment-grade bonds compared to high-yield bonds, “Relative to high-yield bonds, investment-grade bonds are more sensitive to interest rate changes and credit migration risk, resulting in credit spread volatility. High-yield bonds are not as sensitive to interest rates, and, given the potential for actual credit losses caused by default, monitoring outright market value of the position is more critical with high-yield bonds than with investment-grade bonds.”




Q. Are Choate’s comments regarding the risk considerations for investment-grade bonds compared to high-yield bonds most likely correct?

  1. No, he is incorrect with respect to investment-grade bonds.
  2. Yes.
  3. No, he is incorrect with respect to high-yield bonds.

Solution

B is correct. Investment-grade bonds have lower credit and default risks than high-yield bonds and are more sensitive to interest rate changes and credit migration, which cause credit spread volatility. The much higher credit loss rate experienced with high-yield bonds results in an emphasis on credit risk and the market value of the position to evaluate high-yield risk.

A and C are incorrect because Choate is correct with respect to both investment grade and high yield bonds.

不知道是不是我记错了,我记得高收益债券更应该关注违约,他的报价是用市值,选项说关注市值对高收益债券更重要,我觉得应该是违约风险更重要,而投资级债券更关注利率变化,报价是spread,投资级更关注credit migration吗,这一点我不记得了



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已采纳答案

发亮_品职助教 · 2019年05月23日

“我记得高收益债券更应该关注违约,他的报价是用市值,选项说关注市值对高收益债券更重要,我觉得应该是违约风险更重要”


没记错,高收益债应该关注Credit risk,而Credit risk = default rate × Loss given default,因为本身高收益债券的Loss given default就很高,所以一旦违约,Credit Loss就很高,所以高收益债券直接关注违约风险Default risk、或者违约损失Credit risk,而不是关注Credit spread的变化。所以报价不用Spread报价,直接用价格报价,这个价格就是债券的Market value,价格会反映市场对违约概率、损失的预期。

所以可以说:因为关注焦点是高收益债的Default risk、Credit risk,所以直接看报价Market value,而不是Spread。


所以这道题关于High-yield bond的说法是没有问题的:

High-yield bonds are not as sensitive to interest rates, and, given the potential for actual credit losses caused by default, monitoring outright market value of the position is more critical with high-yield bonds than with investment-grade bonds


“而投资级债券更关注利率变化,报价是spread,投资级更关注credit migration吗”

对的,因为投资级别债券本身违约的可能性相对较低,更多的风险是来自利率变动时债券的价格变动,所以关注的焦点是Spread的变动,而Credit migration只是级别变动,会带来Spread的变动,所以也会关注Credit migration risk。

所以这道题关于Investment-grade的说法也没问题:

investment-grade bonds are more sensitive to interest rate changes and credit migration risk, resulting in credit spread volatility. 

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