金程問(wèn)答
可否理解成Derivative overlay這里的Rebalance就是hedging？
三級(jí)密卷下case10題 第二問(wèn)有兩個(gè)問(wèn)題 一、 long risk position in the single-name 10-year CDS 意思是買(mǎi)入CDS吧？ 也就是CDS buyer吧? 二、buyer 應(yīng)該向seller 支付coupon 吧？為什么最后計(jì)算的時(shí)候把coupon income算在buyer的收益里呢？ 這題有點(diǎn)繞，沒(méi)太懂，請(qǐng)老師指點(diǎn)
第1問(wèn)，考試中沒(méi)提付息頻率，都是默認(rèn)半年付息嗎？
有點(diǎn)混淆，immunization應(yīng)對(duì)structure risk要減小convexity，這里說(shuō)convexity好越大越好，怎么理解？
D問(wèn)，forward和call option的payoff，乘的risk factor是什么？
請(qǐng)教一下，negative butterfly是有positive butterfly spread是嗎？ 而positive butterfly 是有negative butterfly spread是嗎？ butterfly spread公式如圖二，能夠理解，但是根據(jù)圖1這么定義正負(fù)butterfly的話，是不是有個(gè)矛盾？
對(duì)于swaption collar,進(jìn)入receiver swaption會(huì)使得利率下跌時(shí)收到更高的固定利率，但是同理short payer swaption不會(huì)也會(huì)在利率下跌時(shí)付出更高的固定利率么
老師，您好，DTS適合low rated bond不適合high yield bond嗎？以下是題目B和C是啥意思呀，謝謝啦Q. Which of the following regarding the shape of the credit spread curve for high-yield issuers is most accurate?A.High-yield credit spread curves change shape more over the cycle than investment-grade ones do and usually invert during the peak phase.B.Investors should exercise caution in interpreting credit spread curve shape for distressed debt issuers because their bonds tend to trade on a price rather than credit spread basis as the likelihood of default increases.C.High-yield credit spread curves often invert because of the empirical observation that DTS is the best way to measure high-yield bond price changes.
interest rate volatility & default correlations
cashflow yield 怎么理解
CFA 三級(jí) mock 2022 B卷題目是：Identify which duration-matched portfolio is most likely suitable to immunize the liabilities. Justify your response，就是在表格內(nèi)選一個(gè)組合能免疫負(fù)債，那我的問(wèn)題是：組合免疫不是看資產(chǎn)MV大于或等于負(fù)債MV，資產(chǎn)duration負(fù)債duration，同時(shí)凸度在大于負(fù)債凸度前提下盡量小，對(duì)吧？那這里為啥只看BPV？為啥不考慮MV、duration以及convexity，請(qǐng)教老師，謝謝
可以講一下這道題嗎老師
第二問(wèn)五因子分解的第一部分coupon的計(jì)算，為啥是6.2，表里本金不是99嗎？那coupon不是應(yīng)該用99*6.2%嗎？
老師，dts可以加權(quán)，為何oas不可以呢？
為什么multiple liability immunization可以說(shuō)BPV(A)=BPV(L)呢？假設(shè)是D(A)>D(L) AND PV(A)
程寶問(wèn)答
