金程問(wèn)答
Which of the following statements about credit spread measures is most accurate? A、The DM is the yield spread over the MRR established upon issuance to compensate investors for assuming an issuer's creadit risk. B、The Z-DM will be above tne DM if the MRR is expected to remain constant over time. C、The yield spread for a corporate will be equal to the G-spread if the government benchmark yield curve is flat.
老師，百題fixed income 中case10，第B題，解析沒(méi)看懂，煩請(qǐng)用幫忙解答一下，謝謝
duration matching策略所謂的無(wú)法完全消除風(fēng)險(xiǎn)，存在一定的殘留，是什么原因？
百題fixed income case9最后一題關(guān)于default correlation的解析沒(méi)看懂，煩請(qǐng)解釋一下，謝謝啦
百題第一題為什么不選C，這也能增加30年的duration，減少2年期的duration 啊
An active investor enters a duration-neutral yield curve flattening trade that combines 2-year and 10-year Treasury postions.Under which of the following yield curve scenarios would you expect the investor to realize the greatest porofolio gain?A、Bear flattening B、Bull falttening C、Yield curve inversion
這道題完全沒(méi)有聽(tīng)懂，老師能麻煩再解釋一遍么？
為什么portfolio的duration是Effective duration呢？
這個(gè)公式老師并沒(méi)有解釋原理
沖刺筆記上第134頁(yè)的例題，step 2：為什么獲得新的基準(zhǔn)利率不能用線性插補(bǔ)法？：（7.96-7)*(1.77%-1.43%)/(9.88-7)+1.53% = 1.64%? 而是要用2個(gè)bond合成？
筆記127頁(yè)的2個(gè)圖要怎么解釋?zhuān)?）左圖：更陡峭的長(zhǎng)端是高利率，所以投高利率，借入低利率？怎么匹配lend和borrow呢？2）右圖：為什么更陡峭的長(zhǎng)端要receive fixed？怎么匹配receive和pay？fixed和floating？
作為pure indexing的替代方法，mutual fund不是可以隨時(shí)申購(gòu)贖回(筆記114頁(yè))，那為什么說(shuō)Case 4: Sonera Endowment Fund中的 ". One advantage of investing in equity mutual funds is that shares can be redeemed at any point during the trading day."是錯(cuò)的
Pure indexing 到底是成本高還是成本低呀？筆記114頁(yè)，既說(shuō)成本低，又說(shuō)成本高？
LGD*POD就是expected loss。但它為什么等于spread？
Rolldown return請(qǐng)解釋一下
程寶問(wèn)答
