趙同學(xué)
2024-03-21 14:33US-based fixed-income portfolio manager
老師您好，債券的整體收益分成五個部分：yield income, rolldown return, E (changes in price based on investor's view yields and yield spreads), E (credit loss), E (currency gain or loss). 這題的yield were to rise significantly over the investment horizon, 是不是只影響E (changes in price based on investor's view yields and yield s
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
Simon助教
2024-03-21 17:02
該回答已被題主采納
同學(xué)，上午好。五因子見截圖，現(xiàn)在E(credit loss)換成了E(ΔPrice due to investor’s view of yield spreads)，credit loss就是spread 變化導(dǎo)致的損失。
因為Thai baht (THB) 是zero-coupon government bonds ，所以yield were to rise significantly over the investment horizon, 只影響E(ΔPrice due to investor’s view of benchmark yield)
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