齊同學
2023-07-06 16:23High-yield bonds are more sensitive to credit risk than interest rate risk as compared to investment
- grade bonds. This is because there is typically a negative correlation between risk-free rates and credit spreads. When risk-free rates rise (economy is on a growth trend) they tend to generate smaller changes in corporate bond yields and have a more reduced effect on securities with high credit r
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Simon助教
2023-07-07 11:16
該回答已被題主采納
同學，上午好。
1. 與投資級債券相比，高收益?zhèn)瘜π庞蔑L險的敏感性高于利率風險。因為無風險利率與信用利差之間通常存在負相關關系。經(jīng)濟好，無風險利率增加，同時信用利差減少。經(jīng)濟不好，無風險利率減少，信用利差增加。高收益?zhèn)痀TM=rf+credit spread。rf和credit spread一增一減，可以抵消。所以高收益?zhèn)瘜曙L險敏感度不高，高收益?zhèn)|(zhì)量差，對信用風險敏感更高。
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