NO.PZ2020011303000236
问题如下:
Suppose a portfolio has an exposure of +50 to a one-basis-point increase in the five-year Treasury rate in Table13.1, an exposure of −100 to a one-basis-point increase in the ten-year Treasury rate in Table 13.1, and no other exposures. What is the portfolio’s exposure to the first two factors in Table 13.1?
解释:
The exposure to one unit of the first factor is
50 × (−0.410) − 100 × (−0.414) = 20.9
The exposure to one unit of the second factor is
50 × 0.203 − 100 ×
(−0.193) = 29.45
题目问:假设有一个组合,当5年的treasury利率上升1bp时,exposure变成+50;10年的treasury利率上升1bp时,exposure变成-100。没有其他的exposure,根据图中前两个factor,求组合的exposure。
factor 1:
50 × (−0.410) − 100 × (−0.414) = 20.9
factor 2:
50 × 0.203 − 100 × (−0.193) = 29.45
求出的结果代表什么意思?有什么经济学含义?这两个数字接下来怎么使用?谢谢