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:
老师,这个符号如何考虑?
我想的是表格内部显示的是增加的量,那现在题目是问decrease,我就-(-0.4)-0.3【具体数字忘了】,最后是正的,就是增加, 这样做对么?