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Brownie · 2022年01月31日

a 为什么不对

NO.PZ2021120102000033

问题如下:

An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.

Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?

选项:

A.

Steepening of the benchmark yield volatility curve.

B.

Decreased likelihood of an economic slowdown.

C.

Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).

解释:

C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.

This relationship is captured in the difference between empirical and analytical duration measures.

短期波动小,长期波动大,future value 根据长期波动的变化,会降低。这么理解有什么问题

1 个答案

pzqa015 · 2022年02月01日

嗨,从没放弃的小努力你好:


同学你好

你还是没有区分长期和未来两个词

收益率曲线(包括本题说的收益率波动率曲线)的期限结构,都是表述站在某个时点看,不同投资期的收益率或者波动率,比如,现在1年期利率是1%,5年期利率是5%,意思是现在投资1年期债券的收益率是1%,投资5年期债券的收益率是5%,这是长期和短期的含义。

未来是指未来某个时刻的收益率曲线,比如t=1时刻,会有一条收益率曲线,它衡量的是1年后,各期限投资的收益。


future value并不能根据现在曲线上的长期波动变化进行判断而应该根据未来的波动率曲线上的波动变化进行判断。现在短期波动小,长期波动大,说明现在短期风险小于长期,说明经济和市场环境在变好,那么是可以由此判断未来一段时间内,这种趋势会持续的。

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努力的时光都是限量版,加油!

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