139****6784
2024-01-31 23:35The price sensitivity of high-yield bonds to interest rate changes is typically higher than that of investment-grade bonds.這句話為啥不對(duì)?
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
Simon助教
2024-02-02 10:35
該回答已被題主采納
同學(xué),上午好。
因?yàn)閷?duì)于投機(jī)級(jí)債券,YTM=rf+spread,對(duì)于投資級(jí)債券,就以國(guó)債為例,YTM=rf。
因?yàn)橥稒C(jī)級(jí)債券里,既有rf和spread,而rf和spread通常是反向變化的(rf增加,spread下降,例如經(jīng)濟(jì)變好,rf增加,違約可能性下降,spread下降),所以會(huì)有一定程度的抵消,那么rf大變動(dòng),因?yàn)閟pread的抵消,YTM小變動(dòng),那么價(jià)格也小變動(dòng),所以,The price sensitivity of high-yield bonds to interest rate changes is typically higher就不對(duì)。
