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Gogo冲 · 2022年02月11日

A不明白,错误的原因不是因为roll down并不包含incremental coupon吗?

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.

A不明白,错误的原因不是因为roll down 并不是coupon的incremental吗

2 个答案

pzqa015 · 2022年11月19日

嗨,努力学习的PZer你好:


不是,是长期债相对于短期债多出来的coupon。

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pzqa015 · 2022年02月12日

嗨,从没放弃的小努力你好:


不是因为incremental coupon哈,由于债券价格是与现金流的折现求和,因此,长期债券的价格反映了长期债券相对于短期债券的incremental coupon,所以说incremental coupon是没问题的。

这句话错在缺少在句末加上类似“assuming the fixed benchmark yield”这样的表述,也即,应该加上假定基准利率是不变的这样一个条件(注意,是利率不变不是利率曲线不变),原因如下:

credit curve roll down strategy是随着时间的流逝,长期credit spread下降带来的price aprreciation。由于yc=yb+spread,那么要计算长期credit spread下降带来的price appreciation,就要假定yb是不变的,这样衡量的price appreciation才可以完全反映出spread变化导致yc变化进而导致Price的变化,缺少这句话,仅仅说passage of time导致的price appreciation,相当于只说yc变化,并没有说yc变化是因为什么引起的,有可能yb变化使得yc变化进而使得price变化,那么这样计算的credit rolldown return不再准确。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

gogogo · 2022年11月19日

incremental coupon 可以理解为因为spread 的存在,导致coupon RI 收益增加?

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