丹同學(xué)
2022-05-11 02:40Reading 14 example 32里面?zhèn)疉的Excess return 2.26是怎么算的
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
2022-05-11 11:22
該回答已被題主采納
同學(xué)，早上好。
這里缺條件，已勘誤，補(bǔ)充如下，
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).”
以下是A相關(guān)超額回報(bào)計(jì)算
E [ExcessSpread] ≈ Spread0 ?(EffSpreadDur × ΔSpread) ? (POD× LGD)=1.40%+5.5*0.14%-0.09%=2.08%
努力的你請(qǐng)點(diǎn)擊右下角的【點(diǎn)贊】喲~。加油，祝你順利通過(guò)考試~
0
0
0
0
