a**********n
发帖数: 848 | 1 对一道题想不明白，请大家帮忙看看
这道题是CFA 2008年的考题
Buying and selling an equal value of fixed income securities with identical characteristics
Buy 7-year Ba2/BB industrial corporate bonds;
sell 7-year Baa3/BBB industrial corporate bonds
Given market expectations: a weakening economy, over the next 2 weeks credit spreads will widen significantly and all interest rates will decline significantly
问题: determine the expected effect on the portfolio's value over the next 2 weeks, Positive or Negative, reason
官方答案：Negative, since lower quality corporate bond spreads widen more than higher quality bond spreads in a weak economic environment due to a higher risk of default. |
a**********n
发帖数: 848 | 2 我的理解是 in weak economy, low credit quality bond has to pay a higher risk premium, so Baa3/BBB corporate bonds will have a higher yield than Ba2/BB bonds. High yield, means low Price.所以Baa3/BBB的价格会下降的比Ba2/BB多，而题干里是sell Baa3/BBB bonds，buy Ba2/BB bonds。
所以最后结果应该是positive呀？？
为什么答案是negative???
我什么地方理解不对呢？？ |
r**a
发帖数: 536 | 3 没整明白你在说什么。你提供的原题答案里面不是讲的很清楚吗？
portafolio's value=$-P_low+P_high$, where $P_low, P_high$ means the prices of
low credit and high credit bonds. You need to analyze the duration of these
two bonds.
risk premium, so Baa3/BBB corporate bonds will have a higher yield than Ba2/
BB bonds. High yield, means low Price.所以Baa3/BBB的价格会下降，而题干里是
sell Baa3/BBB bonds，所以所得为正。
means high Price.所以Ba2/BB的价格会上升，而题干里是buy Ba2/BB bonds，所以所
得为正。
【在 a**********n 的大作中提到】
: 我的理解是 in weak economy, low credit quality bond has to pay a higher risk premium, so Baa3/BBB corporate bonds will have a higher yield than Ba2/BB bonds. High yield, means low Price.所以Baa3/BBB的价格会下降的比Ba2/BB多，而题干里是sell Baa3/BBB bonds，buy Ba2/BB bonds。
: 所以最后结果应该是positive呀？？
: 为什么答案是negative???
: 我什么地方理解不对呢？？
|
o**o
发帖数: 3964 | 4 1. You got the rating order wrong
2. both prices will drop; low rating drops more. In terms of spread its
wider.
risk premium, so Baa3/BBB corporate bonds will have a higher yield than Ba2/
BB bonds. High yield, means low Price.所以Baa3/BBB的价格会下降，而题干里是
sell Baa3/BBB bonds，所以所得为正。
【在 a**********n 的大作中提到】
: 我的理解是 in weak economy, low credit quality bond has to pay a higher risk premium, so Baa3/BBB corporate bonds will have a higher yield than Ba2/BB bonds. High yield, means low Price.所以Baa3/BBB的价格会下降的比Ba2/BB多，而题干里是sell Baa3/BBB bonds，buy Ba2/BB bonds。
: 所以最后结果应该是positive呀？？
: 为什么答案是negative???
: 我什么地方理解不对呢？？
|
a**********n
发帖数: 848 | 5 这是L3的题目，
不要求计算，因为没有给duration和其他任何数据
是一道纯概念题，判断加解释
官方答案我已经贴了
of
these
Ba2/
【在 r**a 的大作中提到】
: 没整明白你在说什么。你提供的原题答案里面不是讲的很清楚吗？
: portafolio's value=$-P_low+P_high$, where $P_low, P_high$ means the prices of
: low credit and high credit bonds. You need to analyze the duration of these
: two bonds.
:
: risk premium, so Baa3/BBB corporate bonds will have a higher yield than Ba2/
: BB bonds. High yield, means low Price.所以Baa3/BBB的价格会下降，而题干里是
: sell Baa3/BBB bonds，所以所得为正。
: means high Price.所以Ba2/BB的价格会上升，而题干里是buy Ba2/BB bonds，所以所
: 得为正。
|
a**********n
发帖数: 848 | 6 1。没明白你的解释，题干我没抄错
2。这个解释我明白，所以才有疑问
One of the rationale for trading in the secondary bond market is credit-
defense trade. As economic slowdown, reallocating away from credit risk
bonds towards investment grade bonds,since low quality bonds experience a
greater increase in the risk premium than high rated bonds.
按照这个逻辑难道不就是应该buy Ba2/BB,sell Baa3/BBB ???
【在 o**o 的大作中提到】
: 1. You got the rating order wrong
: 2. both prices will drop; low rating drops more. In terms of spread its
: wider.
:
: risk premium, so Baa3/BBB corporate bonds will have a higher yield than Ba2/
: BB bonds. High yield, means low Price.所以Baa3/BBB的价格会下降，而题干里是
: sell Baa3/BBB bonds，所以所得为正。
|
S*********d
发帖数: 451 | 7 楼主，你的整个逻辑是不对的。
第一,BBB is higher quality bond,BB is lower quality bond.
第二，whatever the economy is ，BBB is always pay less premium than BB
第三，As a portfolio view, you are comparing the change of BBB and the
change of BB
第四，both bonds will increase the yields due to the weak economy (the
default risk goes up). Hence, both bond price will decrease
第五，the short position of BBB will increase the value of the portfolio
while the long position of BB will decrease the value of portfolio
第六,because the price change of BBB is less than the price change of BB (
the yield change is larger for BB), the combination of the two will be
negative
第七，this question is neglect the effect of the duration. The duration of
BB is normally less than the BBB (BB has higher coupon or higher yield). But
the change of yield is dominant in the percentage change in price |
a**********n
发帖数: 848 | 8 谢谢大家，明白了
我是 BBB 和 BB 的credit等级高低问题搞错了 |
r**a
发帖数: 536 | 9 No, you misunderstood my meaning. I mean you should do the analysis
regarding the duration qualitatively. I do not mean you need to do it
quantitatively. All the thing you need to do here is to judge which one is
bigger between those two durations by using some well known concepts or
conclusions.
【在 a**********n 的大作中提到】
: 这是L3的题目，
: 不要求计算，因为没有给duration和其他任何数据
: 是一道纯概念题，判断加解释
: 官方答案我已经贴了
:
: of
: these
: Ba2/
|
x********9
发帖数: 31 | 10 The answer is correct.
The posisiont simply means you long credit risk. You construct the portfolio
by selling safe asset and buying risky asset. A weakening economy is
definitely a situation which goes against the position. |
