穆同學(xué)
2024-01-18 23:38投資級債券比高收益?zhèn)瘜redit migration risk 更敏感？
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
梁雪助教
2024-01-20 08:46
該回答已被題主采納
同學(xué)你好，
Credit migration是債券公開評級的變化對于債券價格的影響，通常下調(diào)評級比上調(diào)對于價格影響更大。
Investment-grade bonds generally have higher credit ratings, lower default risk, and higher recovery in the event of default and offer lower all-in yields to maturity. High-yield bonds usually have higher yields to maturity as a result of lower (sub-investment or speculative grade) credit ratings, higher default risk, and lower recovery in the event of default.
圖中顯示，高評級債的one notch downgrade（%）更大，低評級債的default probability（%）更大。因此投資級債，更關(guān)注spread risk，主要用spread duration衡量；投機級債，更關(guān)注 default risk，用市場價格衡量。
0
0
0
0
