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纯洁的栗子叔 · 2023年10月29日

老师请问

NO.PZ2020042003000092

问题如下:

Which of the following statements is correct?

选项:

A.

Convexity refers to a nonlinear relationship between changes in an asset’s price and changes in market interest rates.

B.

An asset or portfolio bearing both a low duration and low convexity normally displays relatively large market risk

C.

Convexity decreases with the duration (maturity) of an asset.

D.

Price risk is smaller when interest rates are low than when they are high.

解释:

考点:对Risk Management for Changing Interest Rates: ALM and Duration Techniques-The Concept of Duration as a Risk-Management Tool的理解

答案:A

解析:

选项A的表述正确。

B选项错误,low duration and low convexity的债券具有较低的Market risk。关于B选项正确的表述为:

An asset or portfolio bearing both a low duration and low convexity normally displays relatively small market risk.

C选项错误,随着债券Maturity的增加,债券的Convexity数据会增加,C选项改成正确的表述为:

Convexity increases with the duration (maturity) of an asset.

D选项错误,当利率降低时,Price risk更大,因为债券有较高的DurationD选项改为正确的表述为:

Price risk is greater when interest rates are low than when they are high.

为什么Convexity decreases with the duration (maturity) 会默认duration是上升的?正式考试也会这么表达吗?谢谢


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李坏_品职助教 · 2023年10月29日

嗨,努力学习的PZer你好:


Convexity decreases with the duration (maturity) ,这个默认是指的duration在增加,考试中如果遇到类似的题目也是这样处理的。

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