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Jack Sun · 2022年05月26日

三级Fixed Income题目

2016 Mock 下午题 Q16 Rioja’s case

(1)老师能否分别判断一下文中对以下四个概念的statment是否正确?如果错误,分别错在哪里?

<1>Effective Duration

<2>Convexity

<3>Key rate Duration

<4>Speard Duration


(2)对于Key rate Duration,为什么说“ relative attractiveness of various portfolio strategies, such as bullet strategies versus barbell strategies”?这句话有点不理解。什么是“relative attractiveness”?


(3)我理解,对于Convexity,由于“涨多跌少”的特性,可以使得ΔP更接近真实值,为什么convexity的statement不对?




原题:

Rioja then asks Priorat, “I would like to understand the risk profile of each index benchmark we have assigned to the portfolio managers. What measures are available to do this?” Priorat responds,


There are several key measures that come to mind. Effective duration measures the sensitivity of the index’s price to a relatively small parallel shift in interest rates. For large non-parallel changes in interest rates, a convexity adjustment is used to improve the accuracy of the index’s estimated price change. Key rate duration measures the effect of shifts in key points along the yield curve. Key rate durations are particularly useful for determining the relative attractiveness of various portfolio strategies, such as bullet strategies versus barbell strategies. Spread duration describes how a non-Treasury security’s price will change as a result of the widening or narrowing of the spread contribution.





1 个答案

pzqa015 · 2022年05月29日

嗨,从没放弃的小努力你好:


2019年以前的题目不要在做了哈

本题convexity的表述是正确的。

关于KRD,理解如下

KRD是假定Portfolio中全是零息债,每一个关键时间点(债券到期时间)利率变动,其他期限利率不变,对Portfolio value的影响。KDRi=wi*Di,wi为i时刻到期债占portfolio value的权重,Di为i期限债的久期,因为是0息债,所以每一个时间点的现金流都是本金,KDRi表示只有第i个时间点收益率的变动对组合value的影响。Portfolio中有几个关键时间点,就有几个KRD。

如果收益率曲线平行移动,可以用Portfolio duration衡量portfolio 价格对利率的敏感程度;如果收益率曲线非平行移动,不能用Portfolio了,分别用各个点的KRD来计算各个点的△P,然后加总。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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