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2022-11-11 12:34Mt. Pleasant Advisers Case Scenario
which of West’s comments regarding risk considerations in corporate bonds is least likely correct? 這里IG債券的敏感性不是和利率相關(guān)的嗎?為什么又說(shuō)由信用息差決定? Because credit spread volatility—as opposed to outright credit default loss—is more relevant for investment-grade bonds than for high-yield bonds, the risk in a portf
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
Chris Lan助教
2022-11-14 11:43
該回答已被題主采納
同學(xué)您好
相對(duì)來(lái)說(shuō)投資級(jí)債券與基準(zhǔn)利率更相關(guān),但這不意味著spread對(duì)IG債券沒(méi)有影響。
通常從信用風(fēng)險(xiǎn)的角度來(lái)說(shuō):
我們對(duì)于投資級(jí)債券來(lái)說(shuō),主要是通過(guò)spread來(lái)衡量其信用風(fēng)險(xiǎn),因?yàn)橥顿Y級(jí)債券違約的概率低,因此更關(guān)注對(duì)信用風(fēng)險(xiǎn)的補(bǔ)償,即credit spread。
而HY債券違約概率比較高,因此通常我們比較關(guān)注其價(jià)格,價(jià)格能反應(yīng)其預(yù)期的違約損失。
