穆同學(xué)
2024-01-18 23:38投資級(jí)債券比高收益?zhèn)瘜?duì)credit 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(gè)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(píng)級(jí)的變化對(duì)于債券價(jià)格的影響，通常下調(diào)評(píng)級(jí)比上調(diào)對(duì)于價(jià)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(píng)級(jí)債的one notch downgrade（%）更大，低評(píng)級(jí)債的default probability（%）更大。因此投資級(jí)債，更關(guān)注spread risk，主要用spread duration衡量；投機(jī)級(jí)債，更關(guān)注 default risk，用市場(chǎng)價(jià)格衡量。
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