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senyyf · 2024年05月06日

effective duration

NO.PZ2023040701000079

问题如下:

Muniz poses the following question: “If you expect a steepening of the yield curve, what duration measure provides the best indication of the interest rate risk for a callable bond?”

For the interest rate scenario presented by Muniz, the most appropriate duration measure is:

选项:

A.

key rate duration.

B.

one-sided up duration.

C.

effective duration.

解释:

Correct Answer: A

A bond’s sensitivity to changes in the shape of the yield curve, steepening or flattening, is captured by key rate duration. One-sided duration (up or down) is better than effective or two-sided duration at capturing the interest rate sensitivity of a callable or putable bond but only for a parallel shift in the yield curve, not for changes in the shape of the yield curve.

effective duration什么时候用最合适?

1 个答案
已采纳答案

吴昊_品职助教 · 2024年05月07日

嗨,爱思考的PZer你好:


effective duration对于含权债券在平行移动时,最为合适。也就是说当利率曲线发生整体平行移动,要衡量callable bond和putable bond的利率风险,可以用到effective duration。

one-side durtaion的本质也是effective duration,区别是如果只聚焦于某一边的利率风险,我们可以用one-side来代替effective durtaion。

而现在题干中利率曲线时发生了非平行移动,就只能用key rate duration来衡量利率风险了。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!