张同学2022-04-09 20:37:57
张同学R14原版书例题32，图片画红线的计算的CDS price?还有答案最后一句从哪儿看出iTraxx 的权重是us的一半
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Nicholas2022-04-11 13:40:17
Nicholas同学，下午好。
这里的计算是错误的，勘误如下，请参考，
In Example 32, second paragraph (page 121 of print), second sentence should read, “In particular, European high-yield credit spreads are expected to narrow by 25% in the near term, the euro is expected to appreciate 1% against the US dollar, and all US credit spreads and expected loss rates are expected to decline just 10% over the same period.” In the table in the solution, the E(Expected Spread) column should read, top to bottom: 2.08%, 2.93%, 4.54%, 3.65%. The sentence after the table should read, “Return on the equally weighted portfolio is equal to 3.30% (=(2.08%+2.93%+4.54%+3.65%)/4).” The final sentence in the example should read, “Given that iTraxx-Xover carries a weight equal to one-half of the US corporate bond portfolio, the strategy returns 6.04% (or 3.30% + 5.483%/2).”
另外这里题目中说明assuming an equally weighted allocation to US corporate bonds and an iTraxx-Xover position that matches that of the US high-yield bond allocation. 因此是等权重配置的，需要除以2。
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是我问的不清楚吗，您说的勘误我知道，我问的是图片中我画红线的两个计算公式，我没看明白，麻烦看一下图片画红线的，解释一下这两个公式，不需要解释勘误
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同学，下午好。
题目中说明标准保费是5%，利差是400bps，那么就应该是1-4.25*(5%-4%);
而接下来是利差缩窄为300bps，那么就应该是1-4.25*(5%-3%)。
努力的你请【点赞】哟~。加油，祝你顺利通过考试~
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那答案为什么对Traxx的收益5.483除以了2，而对portfolio 的3.3没有除以2，没看懂
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同学，早上好。
上述解答已说明，题目说明calculate the expected excess return percentage assuming an equally weighted allocation to US corporate bonds and an iTraxx-Xover position that matches that of the US high-yield bond allocation.
意思是假设对美国公司债券的平均加权分配以及与美国高收益债券分配相匹配的iTraxx Xover头寸，计算预期超额收益率百分比。
也就是说iTraxx-Xover配置的部分和US corporate高收益的部分是相同的权重，我们看到US corporate的表格中高收益部分是占一半的，因此iTraxx-Xover配置的部分收益率需要除以2。
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