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mino酱是个小破货 · 2023年12月09日

为什么不是答案1,因为它的duration是最接近9,符合债券到期要求,谢谢

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NO.PZ201812020100000409

问题如下:

Based on DFC’s bond holdings and Exhibit 2, Molly should recommend:

选项:

A.

Benchmark 1.

B.

Benchmark 2.

C.

Benchmark 3.

解释:

B is correct. DFC has two types of assets, short term and intermediate term. For the short-term assets, a benchmark with a short duration is appropriate. For the intermediate-term assets, a benchmark with a longer duration is appropriate.

In this situation, DFC may wish to combine several well-defined sub-benchmark categories into an overall blended benchmark (Benchmark 2). The Bloomberg Barclays Short-Term Treasury Index is an appropriate benchmark for the short-term assets, and SD&R uses a 50% weight for this component. The longer-duration Bloomberg Barclays US Corporate Bond Index is an appropriate benchmark for the intermediate-term assets, and SD&R uses a 50% weight for this component. As a result, Molly should recommend proposed Benchmark 2.

问题如上,请详解,谢谢

3 个答案
已采纳答案

pzqa015 · 2023年12月11日

嗨,努力学习的PZer你好:


1的mac duration是9.8,2的mac duration是8.9,负债的期限是9年,与1相比,2是更接近9的

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

pzqa015 · 2024年01月22日

嗨,努力学习的PZer你好:


表中给了mac duration的值。

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努力的时光都是限量版,加油!

考拉 · 2024年01月21日

2的mac duration 怎么算出来是8.9的,题目里不是7.5和0.5么?

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