金程問(wèn)答
老師，固收百題case3，第4題。我選的A，不知道問(wèn)什么選B
老師，17題是基于Abram’s interest rate expectation(stable yield curve), 所以此時(shí)題目里的strategy 1不行不是因?yàn)镈uration不match吧？ 因?yàn)閟table yield curve時(shí)Duration不需要去match（不用構(gòu)建immunization), 這里不能選A是因?yàn)椴环项}目要求（因?yàn)轭}目要求duration match)
15年真題Q3的C問(wèn)題，經(jīng)濟(jì)變好的情況下，可以多買低評(píng)級(jí)的債券，因?yàn)榻?jīng)歷好違約率低，trade1為什么為positive
那像這種到底應(yīng)該怎么選債券？光看各種spread大小我覺(jué)得不能說(shuō)明哪個(gè)債券好？應(yīng)該怎么選
老師，B題，creditspread收緊，經(jīng)濟(jì)好，利率怎么變？他一會(huì)兒講下降一會(huì)兒上升
標(biāo)價(jià)AUD/GBP，應(yīng)該是5-2.5， 正的呀，為什么是下降。
原版書reading21的課后題的第12題，comment 1 和2錯(cuò)誤在哪里？ Comment 1 Comment 2 Comment 3 Callable debt has a smaller option-adjusted spread than compara- ble non-callable debt. Benchmark corporate bond issues normally have wider spreads than older bonds of the same issuer. The announcement of a new corporate bond issue often leads to an increase in the credit spread on the existing bonds.
原版書reading21 課后題的第8題的difference 2 和3 錯(cuò)誤在哪里？ Difference 1: Difference 2: Difference 3: Commodity producers and banks represent a higher proportion of EM indexes than of developed market indexes. Total or partial government ownership of EM issuers is common, which results in a higher average recovery rate for defaulted senior unsecured bonds for EM markets than for developed markets. Compared with developed markets, the credit quality of EM issuers tends to be more concentrated at the very high and very low por- tions of the credit spectrum.
原版書課后題reading 21 的第3題中的，observation 1 和2 錯(cuò)在哪里？
老師，這個(gè)題C我不會(huì)算。不hedge是-1%，hedge用forward，這里不會(huì)。標(biāo)價(jià)不清楚
老師這個(gè)問(wèn)題D，不明白。是說(shuō)算一個(gè)偏離度，偏離的越厲害creid spread大，利率高、P低，未來(lái)P會(huì)漲、所以買？
老師這個(gè)A什么意思？怎么match？
老師這個(gè)D=4，不懂怎么來(lái)的。
原版書的reading19 的第95頁(yè)的的這段話什么意思，e'x'ample 9的第一問(wèn)是怎么解釋？第二問(wèn)的方法是什么？需要掌握嗎？
原版書reading 19的例7的第2問(wèn)，麻煩講解下？
程寶問(wèn)答
