NO.PZ2018123101000036
问题如下:
Exhibit 1. Three-Factor Model of Term Structure
Note: Entries indicate how yields would change for a one standard deviation increase in a factor.
Calculate the expected change in yield on the five-year bond resulting from a one standard deviation decrease in the level factor and a one standard deviation decrease in the curvature factor.
选项:
A.decreasing by 0.8315%.
B.decreasing by 0.0389%.
C.increasing by 0.0389%.
解释:
C is correct.
考点:Managing Yield Curve Risks: Decompose the risk into three factors
解析:图1中的因子表示各个因子变动一个标准差对债券收益率的影响,因此对于5年期的债券,level变动一个标准差对债券收益率的影响为-0.4352%; curvature变动一个标准差对债券收益率的影响为0.3963%,因此Level降低一个标准差,Curvature降低一个标准差对债券收益率的影响为:
三因素的公式中,每一项前面都是负号(老师上课讲的意思是收益率增长1单位,其实价格会下降,所以是负号),但在实际做题中,还是得看具体变化的方向,不能直接套公式吧?