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qiqi1996 · 2020年02月12日

问一道题:NO.PZ2019103001000078

问题如下:

Megan Easton is a portfolio manager with Dynamo Investment Partners (Dynamo) and manages a bond portfolio that invests primarily in investment-grade corporate bonds with a limited amount of US government bonds. Easton meets with John Avelyn, a newly hired analyst, to discuss the structure and management of this investment portfolio, as well as some possible changes to the portfolio composition.

Easton begins the meeting by stating her belief that the credit spread is the single most important measure that investors use when selecting bonds. Among the various credit spread measures, including the G-spread, I-spread, and Z-spread, Easton prefers the G-spread.

A benefit of Easton’s preferred credit spread measure is that it:

选项:

A.

provides a good measure of credit spread for bonds with optionality.

B.

uses swap rates denominated in the same currency as the credit security

C.

reduces the potential for maturity mismatch.

解释:

C is correct.

The G-spread is the spread over an actual or interpolated benchmark (usually government) bond. A benefit of the G-spread is that when the maturity of the credit security differs from that of the benchmark bond, the yields of two government bonds can be weighted so that their weighted average maturity matches the credit security’s maturity.

这道题考的是什么知识点呀?没看的明白

1 个答案

carolllll · 2020年02月13日

 

 

同学你好~

 

 

 

这题是考察fixed income reading21 credit strategies里面的credit spread measures,这个点还是比较重要的需要掌握,特别是每个spread的优缺点。稍微简单复习一下

 

 

 

    G spread (YTM of bond - YTM of benchmark),bond portfolio和benchmark的maturity是匹配的。

    I Spread ( Swap rate of bond - Swap rate of benchmark), 首先比G Spread 更加smooth,其次因为用的是swap rates,而swap rates主要是被institutions使用,几乎没有credit risk,所以这里的benchmark 用的是credit risk free rate。

    OAS spread  主要适用于含权债券的spread,是测量剔除option之后的影响

    Z spread 主要是适合不含权债券的spread,这个是没有另外剔除option的影响

 

OAS spread 和Z spread通常用来相对比较:

 

比如callable bonds,有一个对于investor 来说不好的option,所以就要给investor更高的补偿,因此剔除这个option影响之后的补偿肯定会降低,所以OAS spread小于Z spread。Putable bonds同理。

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NO.PZ2019103001000078 老师能下A吗

2021-07-22 08:33 1 · 回答

uses swrates nominatein the same currenthe cret security reces the potentifor maturity mismatch. C is correct. The G-spreis the spreover actuor interpolatebenchmark (usually government) bon A benefit of the G-spreis thwhen the maturity of the cret security ffers from thof the benchmark bon the yiel of two government bon cweighteso ththeir weighteaverage maturity matches the cret security’s maturity. 请问老师,讲义上说maturity mismatch不是G-sprea一个问题吗?

2021-04-02 16:27 5 · 回答

uses swrates nominatein the same currenthe cret security reces the potentifor maturity mismatch. C is correct. The G-spreis the spreover actuor interpolatebenchmark (usually government) bon A benefit of the G-spreis thwhen the maturity of the cret security ffers from thof the benchmark bon the yiel of two government bon cweighteso ththeir weighteaverage maturity matches the cret security’s maturity. 你好,请问B什么意思,谢谢

2020-11-08 19:02 1 · 回答

uses swrates nominatein the same currenthe cret security reces the potentifor maturity mismatch. C is correct. The G-spreis the spreover actuor interpolatebenchmark (usually government) bon A benefit of the G-spreis thwhen the maturity of the cret security ffers from thof the benchmark bon the yiel of two government bon cweighteso ththeir weighteaverage maturity matches the cret security’s maturity. B能不能翻译下?没看懂什么意思

2020-10-19 08:04 1 · 回答

老师您好, 请问 1.“her belief ththe cret spreis the single most important measure thinvestors use when selecting bon.”这句话对么? 2.另外麻烦一下第二个,谢谢!

2020-02-28 17:45 1 · 回答