同同學(xué)
2025-01-05 03:29Can you please further explain Q3 answer: "If corporate bond yields fall relative to Treasury yields (ie, the spread narrows), the hedge might overcompensate because the assets or futures may appreciate more than the corporate liabilities." Why are not the corporate liabilities appreciate more than the assets due to the narrowed spread?
所屬：CFA Level III > Portfolio Management Pathway 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2025-01-29 14:16
該回答已被題主采納
同學(xué)，上午好。這段解析有問(wèn)題的，邏輯上是不通順，已經(jīng)刪掉了。就答題而言，這一段是basis risk里的舉例，不用寫出來(lái)的。寫完basis risk，然后能表達(dá)出corporate bonds and Treasury bonds are influenced by distinct factors，such as credit risk, liquidity conditions, or overall market sentiment 即可得分。
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