丹同學(xué)
2022-05-09 18:41spread risk不懂。 為什么在用Derivative overlay時Spread risk是一個concern? Movements in the corporate–Treasury yield spread introduce risk to the hedging strategy.Usually, yields on high-quality corporate bonds are less volatile than on more-liquid Treasuries. Government bonds are used in a wide variety of hedging as well as speculative trading strategies by institutional investors. Also, inflows of international funds typically are placed in government bonds, at least until they are allocated to other asset classes. Those factors lead to greater volatility in Treasury yields than comparable-maturity corporate bonds. ” Excerpt From 2022 CFA Program Level III Volume 2 Derivatives, Currency Management, and Fixed Income CFA Institute This material may be protected by copyright.
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Nicholas助教
2022-05-10 11:15
該回答已被題主采納
同學(xué)，早上好。
1. 信用利差是在經(jīng)濟(jì)變好的時候縮窄而在經(jīng)濟(jì)變差的時候擴(kuò)大，基準(zhǔn)利率會在經(jīng)濟(jì)變好的時候上升（可以理解為經(jīng)濟(jì)更好有更高的收益率）而在經(jīng)濟(jì)變差的時候下降。那么信用債券會在兩者的變動下導(dǎo)致整體的利率波動反而比較?。ㄒ?yàn)閮烧叩淖儎訒窒徊糠郑?，而國債僅是基準(zhǔn)利率，則波動較大；
2. 那么基于上述說明，如果做衍生品對沖則會收到利率波動率的影響，利差部分的變化與整體利率變化就需要考慮在內(nèi)。
努力的你請點(diǎn)擊右下角的【點(diǎn)贊】喲~。加油，祝你順利通過考試~
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