丹同学2022-05-09 18:41:02

spread risk不懂。 为什么在用Derivative overlay时Spread risk是一个concern? Movements in the corporate–Treasury yield spread introduce risk to the hedging strategy.Usually, yields on high-quality corporate bonds are less volatile than on more-liquid Treasuries. Government bonds are used in a wide variety of hedging as well as speculative trading strategies by institutional investors. Also, inflows of international funds typically are placed in government bonds, at least until they are allocated to other asset classes. Those factors lead to greater volatility in Treasury yields than comparable-maturity corporate bonds. ” Excerpt From 2022 CFA Program Level III Volume 2 Derivatives, Currency Management, and Fixed Income CFA Institute This material may be protected by copyright.