Which formula do we have to use for instateneous credit spread change ? 1. -effective spread duration* change in spread – pod*lgd OR, 2. – effective spread duration* change in spread
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Why long call 1 is incorrect and long call 2 is correct? The expectation is low volatility so the call option with higher delta (ie with in the money call) will produce higher profit than lower delta (ie with atm ...
when we calculate return for a CDs seller we add the fixed coupon (ie 1%for IG and 5%for HY , which the buyer pays periodically to buy the protection) and the price change of the CDs . Similarly when we ...
The answer c would give the same result
In the answer it is said that the portfolio is no longer has a small cap tilt , but size factor as given by ‘small – big’ a negative coefficient means large cap tilt and positive coefficient means small cap ...