NO.PZ2021120102000010
问题如下：
Which of the following statements best describes empirical duration?
选项：
A.
A common way to calculate a bond’s empirical duration is to run a
regression of its price returns on changes in a benchmark interest rate.
B.
A bond’s empirical duration tends to be larger than its effective duration.
C.
The price sensitivity of high-yield bonds to interest rate changes is typically
higher than that of investment-grade bonds
解释：
A is correct. A bond’s empirical duration is often estimated by running a regression of its price returns on changes in a benchmark interest rate.
由于△P/P=-effective duration*△yc=-empirical duration*△yB
