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坏呼呼嘿嘿 · 2023年05月21日

这题说的是啥？有点没看懂

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004504

问题如下：

Is West’s two-section report regarding the top-down approach most likely correctly structured?

选项：

A.No, she is incorrect with respect to the risk measurement factors. B.Yes C.No. She is incorrect with respect to the macro factors.

解释：

Solution

C is correct. West is incorrect with respect to the macro factors. Key rate durations do not form a macro factor used in the top-down approach to select securities or sectors using relative value. Key rate durations are used by a portfolio manager to measure a portfolio’s exposures to non-parallel yield curve changes.

A is incorrect because West is correct regarding the risk measurements.

B is incorrect because West is incorrect regarding macro factors.

如题

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1 个答案

pzqa31 · 2023年05月22日

嗨，爱思考的PZer你好：


这题是说West想用top-down和bottom-up结合的方法做个报告，其中

Section 1 shows macro factors that she considers relevant for credit investing and includes corporate profitability, economic growth, currency movements, changes in expected market volatility, key rate durations, and default rates. 

这句话错在：key rate duration并不是top-down分析中用于分析行业以及择券的一个指标，只是衡量收益率曲线非平行移动影响的指标。

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NO.PZ202209060200004504 问题如下 Is West’s two-section report regarng the top-wn approamost likely correctly structure A.No, she is incorrewith respeto the risk measurement factors. B.Yes C.No. She is incorrewith respeto the macro factors. SolutionC is correct. West is incorrewith respeto the macro factors. Key rate rations not form a macro factor usein the top-wn approato selesecurities or sectors using relative value. Key rate rations are usea portfolio manager to measure a portfolio’s exposures to non-parallel yielcurve changes.A is incorrebecause West is correregarng the risk measurements.B is incorrebecause West is incorreregarng macro factors. 原文写macro factors thshe consirs relevant for cret investing aninclus corporate profitability, economic growth, currenmovements, changes in expectemarket volatility, key rate rations, anfault rates.解析里只说KR属于macro factor,但我觉得corporate profitability ,fault rates也都不是宏观层面的，都是公司个体层面的，对吗？

2024-01-24 19:40 1 · 回答