赵同学2024-03-21 14:33:03
赵同学US-based fixed-income portfolio manager
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Simon2024-03-21 17:02:40
Simon同学，上午好。五因子见截图，现在E(credit loss)换成了E(ΔPrice due to investor’s view of yield spreads)，credit loss就是spread 变化导致的损失。
因为Thai baht (THB) 是zero-coupon government bonds ，所以yield were to rise significantly over the investment horizon, 只影响E(ΔPrice due to investor’s view of benchmark yield)
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