开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

jeffrey19861001 · 2022年02月27日

No.PZ2021120102000033 (选择题) 来源: 原版书 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?

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.

老师好,我能不能这样认为或者以后碰到类似的题目这样来判断:

1)收益率曲线变平(bull flatten),可以代表经济在变差,所以HYB在未来的价值就会下降?

2)对于benchmark yield volatility curve也一样,变平也代表经济在变差,HYB在未来的价值就会下降?

1 个答案
已采纳答案

pzqa015 · 2022年02月28日

嗨,爱思考的PZer你好:


可以的。

bull flatten:表现形式:长短期利率都下降,长期下降幅度更大。出现背景:投资者flight to quality,集中配置安全资产,一般中长期美国国债是全球最安全的资产,所以,中长期美国国债被哄抢,提高了价格,降低了利率,收益率曲线向下且变平,此时,经济更可能出现危机。

benchmark yield volatility curve:变平,代表短期的volatility上升,短期volatility上升表明风险变大,经济在变差。


----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 8

    关注
  • 1285

    浏览
相关问题

NO.PZ2021120102000033 问题如下 active fixeincome manager is evaluating the relativeperformanof investment-gra corporate versus a high-yielcorporate btallocation in a fixeincome portfolio. Whiof the following analyticmolassumption changes is most likely to rethe future value of the high-yielortfolio relative to the investment-gra holngs? A.Steepening of the benchmark yielvolatility curve. B.creaselikelihooof economic slowwn. C.Increaselikelihooof a flight to quality associatewith bullish benchmark yielcurve flattening (long-term rates fall more thshort-term rates ). C is correct. Unr a “flight to quality” scenario,macroeconomic factors iving government bonYTMs lower cause high-yielboncretsprea to rise because of increaseikelihooof anexpectehigher severity of financistress. This relationship is capturein the fferencebetween empiricananalyticrationmeasures. 可以请老师把三个都一下吗?想知道这道题的完整的答题思路,谢谢~

2024-10-31 10:37 1 · 回答

NO.PZ2021120102000033 问题如下 active fixeincome manager is evaluating the relativeperformanof investment-gra corporate versus a high-yielcorporate btallocation in a fixeincome portfolio. Whiof the following analyticmolassumption changes is most likely to rethe future value of the high-yielortfolio relative to the investment-gra holngs? A.Steepening of the benchmark yielvolatility curve. B.creaselikelihooof economic slowwn. C.Increaselikelihooof a flight to quality associatewith bullish benchmark yielcurve flattening (long-term rates fall more thshort-term rates ). C is correct. Unr a “flight to quality” scenario,macroeconomic factors iving government bonYTMs lower cause high-yielboncretsprea to rise because of increaseikelihooof anexpectehigher severity of financistress. This relationship is capturein the fferencebetween empiricananalyticrationmeasures. 不能理解经济变好投IG吗?

2024-07-18 19:31 1 · 回答

NO.PZ2021120102000033 问题如下 active fixeincome manager is evaluating the relativeperformanof investment-gra corporate versus a high-yielcorporate btallocation in a fixeincome portfolio. Whiof the following analyticmolassumption changes is most likely to rethe future value of the high-yielortfolio relative to the investment-gra holngs? A.Steepening of the benchmark yielvolatility curve. B.creaselikelihooof economic slowwn. C.Increaselikelihooof a flight to quality associatewith bullish benchmark yielcurve flattening (long-term rates fall more thshort-term rates ). C is correct. Unr a “flight to quality” scenario,macroeconomic factors iving government bonYTMs lower cause high-yielboncretsprea to rise because of increaseikelihooof anexpectehigher severity of financistress. This relationship is capturein the fferencebetween empiricananalyticrationmeasures. 如题

2024-07-14 18:01 2 · 回答

NO.PZ2021120102000033 问题如下 active fixeincome manager is evaluating the relativeperformanof investment-gra corporate versus a high-yielcorporate btallocation in a fixeincome portfolio. Whiof the following analyticmolassumption changes is most likely to rethe future value of the high-yielortfolio relative to the investment-gra holngs? A.Steepening of the benchmark yielvolatility curve. B.creaselikelihooof economic slowwn. C.Increaselikelihooof a flight to quality associatewith bullish benchmark yielcurve flattening (long-term rates fall more thshort-term rates ). C is correct. Unr a “flight to quality” scenario,macroeconomic factors iving government bonYTMs lower cause high-yielboncretsprea to rise because of increaseikelihooof anexpectehigher severity of financistress. This relationship is capturein the fferencebetween empiricananalyticrationmeasures. 老师,现在已知yielvolatility curve影响的仅仅是options的价格,对普通债权无影响,可以帮忙回忆一下这个是对应哪一章的什么知识点吗?

2024-07-12 09:17 1 · 回答

NO.PZ2021120102000033 问题如下 active fixeincome manager is evaluating the relativeperformanof investment-gra corporate versus a high-yielcorporate btallocation in a fixeincome portfolio. Whiof the following analyticmolassumption changes is most likely to rethe future value of the high-yielortfolio relative to the investment-gra holngs? A.Steepening of the benchmark yielvolatility curve. B.creaselikelihooof economic slowwn. C.Increaselikelihooof a flight to quality associatewith bullish benchmark yielcurve flattening (long-term rates fall more thshort-term rates ). C is correct. Unr a “flight to quality” scenario,macroeconomic factors iving government bonYTMs lower cause high-yielboncretsprea to rise because of increaseikelihooof anexpectehigher severity of financistress. This relationship is capturein the fferencebetween empiricananalyticrationmeasures. 老师,Increaselikelihooof a flight to quality associatewith bullish benchmark yielcurve flattening (long-term rates fall more thshort-term rates ). 请问是因为经济开始slowwn,所以flight to quality,investor开始大量买入longterm treasury bon以long term yiel大幅下降,基于这个原因判断现在经济下行所以投high-yielbonreturn下降吗。

2024-06-22 17:02 1 · 回答