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stacie · 2020年02月28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.

老师您好,


请问

1.“her belief that the credit spread is the single most important measure that investors use when selecting bonds.”这句话对么?

2.另外麻烦解释一下第二个选项,谢谢!

1 个答案
已采纳答案

WallE_品职答疑助手 · 2020年02月28日

1.我觉得这里是Easton自己的观点,这一题想体现出他们在着重讨论credit spread。当然credit spread确实很重要(还记得二级考试的时候的CVA计算嘛,很复杂的那个),对于其它基金经理来说也许liquidity risk也很重要。

2.B选项强调的是以swap rate(互换/掉期)为主导的,所以与之相关的是I spread (Bond ytm - swap rate)。所以B选项就不是这个基金经理选择G spread的理由了。

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NO.PZ2019103001000078 老师能下A吗

2021-07-22 08:33 1 · 回答

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