赵同学2024-03-26 15:21:58

老师您好，这题我能理解说的是spread risk, 信用利差会考虑在折现率上。但是题干中提到的most investment solutions use a more diversified and lower-quality portfolio of corporate bonds.我不是很理解，如果spread很大，想要分散信用利差风险，为什么要用Lower-quality，不是应该用更好的评级的债券来减少信用利差吗？Conversely, you can face the opposite problem, if you use Treasury futures or interest rate swaps to hedge the liabilities. 这里说如果用国债期货或者IRS则会面对相反的问题，用国债期货和IRS就是没有credit spread了，这怎么还会有问题呢？答案中提到的The typically wider spreads of lower-quality bonds may underperform the spreads of higher-quality bonds in a market sell-off. Conversely, hedging the liabilities with swaps may not provide enough of a spread risk hedge relative to using corporate bonds such that if spreads tighten, high-quality corporate bonds (used to discount liabilities) may outperform swaps. 这里说在sell-off的时候，wider spreads表现比较差，是指wider spreads bonds的价格低于Higher spread bonds嘛？为什么用swap对冲不够，但是用公司债对冲反而更好呢？公司债的信用利差不是应该会更大吗？