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SophieZ · 2023年07月12日

关于Key rate duration 和 Effective duration,可以在这里简单讲一下吗?

NO.PZ2023061601000047

问题如下:

Camille Blanc is a fixed income manager who recently started the Optima mutual fund. The fund is invested in a diversified portfolio of government and corporate bonds. The fund’s mandate requires the effective duration of its portfolio to match that of its benchmark. Blanc’s objective is to outperform a fixed-income benchmark by using an enhanced-indexing strategy.

Blanc evaluates the price sensitivities of Optima relative to its benchmark for changes in the yield curve using scenario analysis:

  • Scenario 1: She simulates an immediate 10 basis point (bps) parallel shift in the yield curve and finds no difference in the price sensitivities between Optima and its benchmark.
  • Scenario 2: She simulates an immediate 30 bps change in the 5-year spot rate and holds all other rates constant. She finds a 19 bps difference in the price sensitivities between Optima and its benchmark.

A. Determine whether Optima most likely violates its mandate under each of the following:

i. Scenario 1

ii. Scenario 2

Justify your response for each scenario. (2015 Q3)

Note: Consider each scenario independently.

选项:

解释:

Correct Answer:

Effective duration measures the sensitivity of a portfolio’s price to a small parallel shift in the yield curve (interest rate risk). For a larger parallel shift, a convexity adjustment is used to improve the accuracy of the estimated price change. Key rate duration captures non-parallel shifts (yield curve risk) such as a steepening in slope or a twist in the yield curve. It measures the effect of changes at key points along the yield curve.

i. Optima does not violate its mandate in Scenario 1. Optima and its benchmark exhibit the same price sensitivity to a small parallel shift in the yield curve because Optima is matched on effective duration.

ii. Optima does not violate its mandate in Scenario 2. Optima and its benchmark exhibit different price sensitivities to a non-parallel shift in the yield curve, indicating that Optima is not matched on key rate duration at the 5-year spot rate. However, its mandate does not require that it be matched on key rate duration.

关于Key rate duration 和 Effective duration,可以在这里简单讲一下吗?

1 个答案

pzqa31 · 2023年07月12日

嗨,从没放弃的小努力你好:


Effective duration用来衡量债券价格的对利率的敏感程度,effective duration是从事后来分析价格对利率的敏感程度。含权债没法提前预测价格对利率的敏感程度,所以对于含权债,只能用effective duration来分析价格对利率的敏感程度,但并不是说effective duration是含权债专属的参数,非含权债也有effective duration。


Key rate duration是按住收益率曲线上其他所有的点不变,只变动某一个点位的利率,然后看看整个债券组合的价格变动幅度;衡量的就是这个单个利率变动,对债券价格的影响幅度。KRD=Wi*Di如果把所有的Key rate duration相加,相当于把收益率曲线上每一个点都变动了一次。Effective duration是Key rate duration之和。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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