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moon · 2022年04月19日

感觉这道题,required return会上升,是因为credit spread(事前概念)上升了吧,而不是credit premium,premium是事后概念-对应的是realized return,这个时候realized return应该是下降-credit premium下降

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NO.PZ202105270100000406

问题如下:

Using the building block approach, the required rate of return for the ZMC bond will most likely:

选项:

A.increase based on the change in the credit premium. B.decrease based on the change in the default-free rate. C.decrease based on the change in the liquidity premium.

解释:

A is correct.

The credit premium is the additional expected return demanded for bearing the risk of default losses. A credit downgrade two steps lower will increase the credit premium and the required rate of return. The change in the default-free rate associated with the monetary tightening will increase (not decrease) the required rate of return. The widening of the spread between the sovereign bond and the next highest-quality government agency security indicates an increase in the liquidity premium, which will increase (not decrease) the required rate of return.

B is incorrect because the required rate of return would increase (not decrease) based on the change in the default-free rate associated with the monetary tightening.

C is incorrect because the rate of return would increase (not decrease) based on a change in the liquidity premium. The liquidity premium can be estimated from the yield spread between the highest-quality issuer (typically a sovereign bond) and the next highest-quality large issuer of similar bonds (often a government agency). A widening yield spread indicates an increase in the liquidity premium and required rate of return.

信用溢价是承担违约损失风险所要求的额外预期收益。信用评级再下调两级,将增加信用溢价和所需的回报率。与货币紧缩相关的无违约利率的变化将增加(而不是减少)所需的回报率。主权债券与第二高质量政府机构证券之间的息差不断扩大,表明流动性溢价上升,这将提高(而非降低)所需的回报率。

B是错误的,因为要求的回报率将增加(而不是减少)基于与货币紧缩相关的无违约利率的变化。

C是错误的,因为收益率会根据流动性溢价的变化而增加(而不是减少)。流动性溢价可以通过最优质的发行人(通常是主权债券)与次之的同类债券大型发行人(通常是政府机构)之间的收益率差来估计。利差的扩大表明流动性溢价和要求收益率的增加。

感觉这道题,required return会上升,是因为credit spread(事前概念)上升了吧,而不是credit premium,premium是事后概念-对应的是realized return,这个时候realized return应该是下降-credit premium下降

4 个答案

笛子_品职助教 · 2022年05月04日

嗨,从没放弃的小努力你好:


信用spread 大,会走牛市 是不是可以理解:(1)spread大,价格很低了,未来会上升?


是的,理解正确。因为现在的市场,整体价格便宜,所以将来会bullish。这是这一节知识点的逻辑。

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努力的时光都是限量版,加油!

笛子_品职助教 · 2022年04月24日

嗨,爱思考的PZer你好:


谢谢老师,现在这个疑问也无关这道题。 就是想问为什么spread和premium不是负相关?根据老师课上讲解,是这么理解: 1. 因为信用风险差,事前charge的spread大 2. 同样因为信用风险差,后期卖出去能够买的价格下降,realized return下降,credit premium下降


相关性并没有特别明确,但是肯定不是负相关,因为讲义上有一句话:可以看出来不是负相关。

从逻辑推理也可以理解:spread大,意味着债券价格便宜,从一般意义上来说,买得便宜,最后能实现的收益,自然比买得贵,要高。


强化讲义22页也有一句话,见蓝色框



解释一下蓝色框这句话:高的OAS spread 公司债,对于不含权公司债,可以理解为高的信用spread。这句话的意思是,高的信用spread,意味着牛市(bullish),也就是债券价格上涨的牛市。

既然是牛市,那么事后收益概念的(credit premium),也是高。


你的问题:

1. 因为信用风险差,事前charge的spread大

这是解释了信用spread大的原因,并没涉及credit premium


2. 同样因为信用风险差,后期卖出去能够买的价格下降,realized return下降,credit premium下降

这句话与蓝框中的句子是矛盾的,蓝框中说的是,信用spread 大,会走牛市,既然是牛市,那么realized return和credit premium都大。

同学说的这句话,可能出自体绿框里这句话。这句话的意思是,当违约风险增加的时候(注意default 和credit spread不完全相同),credit premium 是increase less。注意是 increase less,增加得少,并不是下降。




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虽然现在很辛苦,但努力过的感觉真的很好,加油!

笛子_品职助教 · 2022年04月23日

嗨,爱思考的PZer你好:


我感觉是不是credit spread大的,credit premium小? 1. 因为信用风险差,事前charge的spread大 2. 同样因为信用风险差,后期卖出去能够买的价格下降,realized return下降,credit premium下降


教材上并没有讲到这两者绝对的关系。

但是一般人理解,会认为正相关。

事前spread大说明债券价格便宜,既然买价便宜,就容易获得较好的收益。


只是这道题里,它不涉及到credit spread,毕竟building block中,加的是各种premium。

如果问及building block,只需要考虑premium即可。

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努力的时光都是限量版,加油!

笛子_品职助教 · 2022年04月20日

嗨,努力学习的PZer你好:


在credit premium知识点中,确实是严格区分了credit spread的事前概念,以及credit premium的事后概念。只不过这题不考credit premium知识点,这题考的是building block知识点,building block就是加上各种溢价。


当然为了理论的自洽性,可以粗略认为,credit spread高的,credit premium也高。事前信用利差高,事后可实现的信用溢价也就高。这在一般情况下也是合理的。


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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!

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