張同學(xué)
2022-04-09 20:37R14原版書例題32，圖片畫紅線的計(jì)算的CDS price?還有答案最后一句從哪兒看出iTraxx 的權(quán)重是us的一半
所屬：CFA Level III > Fixed-Income Portfolio Management 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
Nicholas助教
2022-04-11 13:40
該回答已被題主采納
同學(xué)，下午好。
這里的計(jì)算是錯(cuò)誤的，勘誤如下，請(qǐng)參考，
In Example 32, second paragraph (page 121 of print), second sentence should read, “In particular, European high-yield credit spreads are expected to narrow by 25% in the near term, the euro is expected to appreciate 1% against the US dollar, and all US credit spreads and expected loss rates are expected to decline just 10% over the same period.” In the table in the solution, the E(Expected Spread) column should read, top to bottom: 2.08%, 2.93%, 4.54%, 3.65%. The sentence after the table should read, “Return on the equally weighted portfolio is equal to 3.30% (=(2.08%+2.93%+4.54%+3.65%)/4).” The final sentence in the example should read, “Given that iTraxx-Xover carries a weight equal to one-half of the US corporate bond portfolio, the strategy returns 6.04% (or 3.30% + 5.483%/2).”
另外這里題目中說(shuō)明assuming an equally weighted allocation to US corporate bonds and an iTraxx-Xover position that matches that of the US high-yield bond allocation. 因此是等權(quán)重配置的，需要除以2。
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追問(wèn)
是我問(wèn)的不清楚嗎，您說(shuō)的勘誤我知道，我問(wèn)的是圖片中我畫紅線的兩個(gè)計(jì)算公式，我沒(méi)看明白，麻煩看一下圖片畫紅線的，解釋一下這兩個(gè)公式，不需要解釋勘誤
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追答
同學(xué)，下午好。
題目中說(shuō)明標(biāo)準(zhǔn)保費(fèi)是5%，利差是400bps，那么就應(yīng)該是1-4.25*(5%-4%);
而接下來(lái)是利差縮窄為300bps，那么就應(yīng)該是1-4.25*(5%-3%)。
努力的你請(qǐng)【點(diǎn)贊】喲~。加油，祝你順利通過(guò)考試~ -
追問(wèn)
那答案為什么對(duì)Traxx的收益5.483除以了2，而對(duì)portfolio 的3.3沒(méi)有除以2，沒(méi)看懂
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追答
同學(xué)，早上好。
上述解答已說(shuō)明，題目說(shuō)明calculate the expected excess return percentage assuming an equally weighted allocation to US corporate bonds and an iTraxx-Xover position that matches that of the US high-yield bond allocation.
意思是假設(shè)對(duì)美國(guó)公司債券的平均加權(quán)分配以及與美國(guó)高收益?zhèn)峙湎嗥ヅ涞膇Traxx Xover頭寸，計(jì)算預(yù)期超額收益率百分比。
也就是說(shuō)iTraxx-Xover配置的部分和US corporate高收益的部分是相同的權(quán)重，我們看到US corporate的表格中高收益部分是占一半的，因此iTraxx-Xover配置的部分收益率需要除以2。
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