貓同學(xué)
2022-05-12 23:31這道題好幾個(gè)地方?jīng)]懂。圖二表格我打問號那里，我的計(jì)算結(jié)果和書上不一樣呢？最后一圖也有好幾個(gè)問號。
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(gè)回答
Nicholas助教
2022-05-13 12:20
該回答已被題主采納
同學(xué)，早上好。
這里有勘誤，計(jì)算結(jié)果是不對的，勘誤內(nèi)容如下，供參考，
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).”
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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追問
還有沒明白的地方：
1、為啥最后一頁中間的公式算return不是（91.05-95.75）/95.75
2、最后一排，哪里有提到one half of the US？ -
追答
同學(xué)，早上好。
1. 如果是計(jì)算回報(bào)率應(yīng)該使用（期末-期初）/期初的，但是這里有問題，
CDS Price的計(jì)算公式為1+（Coupon-CDS Spread）*duration，期初的利差為400bps，期末的利差為300bps，因此利差縮窄賣保護(hù)的一方獲益。
期初 CDS Price=1+（5%-4%）*4.25=1.0425
期末 CDS Price=1+（5%-3%）*4.25=1.085
假設(shè)計(jì)算回報(bào)率為（1.085-1.0425）/1.0425=4.08%
2. 正文中最后一句提到，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.
假設(shè)對美國公司債券的分配權(quán)重相等，且iTraxx Xover頭寸與美國高收益?zhèn)峙涞念^寸相匹配，計(jì)算預(yù)期超額收益率百分比。
那我們看到美國債券部分高收益?zhèn)家话?，那么iTraxx Xover頭寸就是美國債券部分的一半，因此后面的收益率部分按照除2處理。
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