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dognmnm · 2022年04月20日

benchmark yield volatility curve

  1. CFA III
  2. Fixed Income

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.

这个a选项没看懂, 利率波动性的曲线变陡是暗示什么经济情势?

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2 个答案

lynn_品职助教 · 2022年07月10日

嗨，爱思考的PZer你好：


长期波动率大，不是说明长期经济不好么？

 

这个问题有不少同学都疑惑过，不是的。


我们这里要对长期和未来进行区分。

 

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。

 

曲线受到冲击后的变化我们可以类比甩绳子来理解：手握一根绳子，甩动一下，那么距离手越近的地方，波浪越大，距离手越远的地方，波浪越小，如果绳子足够长，那么远端可能不会动。但是我们还是在当前、现下这个时刻做的甩绳子这个动作。

 

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。未来的情况我们是无法真正从曲线了解到的，我们先判断经济向好，再由此判断未来一段时间内，这种趋势会持续。

 

理由如上所述，短期风险小于长期，经济和市场环境在变好。

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加油吧，让我们一起遇见更好的自己！

lynn_品职助教 · 2022年04月21日

嗨，爱思考的PZer你好：


A选项中收益率波动性曲线变陡峭，说明短期volatility相对于长期volatility在变小，意味着经济在向好，因此未来HYB是比IG更好的。反之，如果收益率volatility曲线变平，表明短期volatility相对于长期volatility在变大，经济在恶化。

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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！

chris2.0🔱 · 2022年07月09日

长期波动率大，不是说明长期经济不好么？

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