NO.PZ2020042003000083
问题如下:
The following statements are about the immunization,
which of the following statements is NOT correct?
选项:
A. immunization works if interest
rate risk and reinvestment risk offset each other, when the yield curve
changes.
The formula for achieve immunization is setting
the duration equal to length of the investor’s planed holding period
If the interest rate fall, the reinvestment
return will be lower, but the prices of securities will rise, the net result is
to freeze the total return from the investment.
If
the interest rate increase, investor can get higher return from the
immunization strategy.
解释:
考点:对Risk Management for Changing Interest
Rates: ALM and Duration Techniques-ALM
的理解
答案:D
解析:
选项D错误,如果利率上升,Reinvestment return预期上升,同时债券有Capital loss,两者相互抵消,确保投资债券的收益稳定(freeze the total return)。
老师为什么B选项会正确?duration等于自己的持有期预期