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滴滴姐姐~ · 2022年01月10日

C。。没说credit curve得是【stable】 & upward呀？

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000028

问题如下：

Which of the following statements best describes a credit curve roll-down strategy?

选项：

A.

Returns from a credit curve roll-down strategy can be estimated by combining the incremental coupon from a longer maturity corporate bond with price appreciation due to the passage of time.

B.

A synthetic credit curve roll-down strategy involves purchasing protection using a single-name CDS contract for a longer maturity.

C.

A credit curve roll-down strategy is expected to generate a positive return if the credit spread curve is upward sloping.

解释：

C is correct. A credit curve roll-down strategy will generate positive return only under an upward-sloping credit spread curve.

As for A, the benchmark yield changes must be separated from changes due to credit spreads, and under B, a synthetic credit roll-down strategy involves selling protection using a single-name CDS contract for a longer maturity.

如题。

AC纠结人类表示A的这个错误原因也很迷。。

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1 个答案

pzqa015 · 2022年01月11日

嗨，爱思考的PZer你好：


先说C选项。

C选项说credit curve roll down策略在收益率曲线向上时，有positive return，这句话是没毛病的，credit curve roll down策略的前提是你说stable yield curve和upward slope，但这句话并不是想表达credit curve roll down策略成立的前提或者条件，相当于默认credit curve roll down策略是成立的，只是陈述了credit curve roll down策略的一种现象，也就是收益率曲线向上，有positive return，这是没问题的。

A选项错在少了assumping flat benchmark yield curve这句话。

我们做credit curve roll down策略，price appreciation来源于两部分，一是benchmark curve roll down产生的，二是credit spread curve roll down产生的，如果像A这样仅说来源于passage of time带来的price appreciation，是放大了credit curve roll down产生的price appreciation，所以，A句话的表述是有问题的，正确的表示是加上assumping flat benchmark yield curve这句话。

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