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erin_hi1990 · 2023年06月24日

老师请讲解一下这道题，谢谢

  1. CFA II
  2. Fixed Income

NO.PZ2023040701000028

问题如下：

Module 6: Consider a portfolio of zero-coupon bonds that mature at different times in the future. Changes in interest rates are not always parallel across maturities, so let’s analyze what happens as rates change across the yield curve. Let’s assume that the portfolio has sensitivities to factors as provided in Exhibit 3. The portfolio has equal weightings in each key rate duration and an effective duration of 4.7. I would like you to assess the impact on the return of the portfolio if rates rise evenly across the curve and also when the curve flattens but does not twist.

Exhibit 3 Factor Movements per One Standard Deviation Shift and Portfolio Key Rate Durations

Assuming rates change as described by Akron and based on Exhibit 3, the impact on the portfolio as outlined in Module 6 would be most likely be a loss in value from changes in:

选项：

A.

level and a gain from changes in steepness.

B.

steepness and a gain from changes in curvature.

C.

level and a loss from changes in steepness.

解释：

Correct Answer: C

A parallel shift of the yield curve would result in a loss across each key rate duration given a sensitivity of 1. For example, a 100 basis point (bp) parallel shift would generate an approximately 4.7% loss in value. A flattening of the yield curve in the long end would result in a loss given a sensitivity of –1. For example, a 100 bp decline in the 30-yearkey rate duration would result in a loss of approximately 2.9% (–100 × –0.01 ×–8.7 × 0.333). There is no impact from curvature, since the curve did not “twist”.

老师请讲解一下这道题，谢谢

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1 个答案

pzqa31 · 2023年06月25日

嗨，从没放弃的小努力你好：


这道题是要用公式计算30年期利率下降100bp,价格变动（损失）是多少：

△P/P=△y*KRD

100代表100个bp，0.01代表1bp(此处省略了百分号)，8.7是30年期的KRD，这个答案有点问题，因为KRD已经包含权重了，其实就不需要再乘以0.333了。

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