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mousesky · 2024年05月10日

这道题为什么考察bump problem啊?

* 问题详情,请 查看题干

NO.PZ202209060200004003

问题如下:

If Puhuyesva’s focus is avoiding credit quality deterioration, which of the South American debt indexes should most likely be chosen on the basis of the information in Exhibit 2?

选项:

A.RFS B.DS C.BSCA

解释:

Solution

C is correct. Compared with other weighting schemes, such as equally weighted, value-weighted indexes are tilted toward issuers with higher levels of debt. The more an issuer or sector borrows, the greater the tilt toward that issuer in the index. Leverage and creditworthiness are negatively correlated, so a value-weighted index will be more susceptible to credit quality deterioration than an equally weighted index will be. BSCA is an equally weighted index, whereas the others are value weighted.

A is incorrect because RFS is a value-weighted index.

B is incorrect because DS is a value-weighted index.

题干里也没有看到要避免因为发行主体发行量大而产生风险的描述呀


仅从index包含的duration, number of portfolio和convexity来判断不行么?

1 个答案

pzqa31 · 2024年05月11日

嗨,从没放弃的小努力你好:


这是二级portfolio中讲过的知识点,算是一个比较综合的知识吧。

对于债券型基金,如果用value weighted 构建,那么发债越多的企业权重越大,发债多说明企业的债务负担重,隐含着信用风险较高。

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努力的时光都是限量版,加油!

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NO.PZ202209060200004003 问题如下 If Puhuyesva’s focus is avoing cret quality terioration, whiof the South Americinxes shoulmost likely chosen on the basis of the information in Exhibit 2? A.RFS B. C.BS SolutionC is correct. Comparewith other weighting schemes, suequally weighte value-weighteinxes are tiltetowarissuers with higher levels of bt. The more issuer or sector borrows, the greater the tilt towarthissuer in the inx. Leverage ancretworthiness are negatively correlate so a value-weighteinx will more susceptible to cret quality terioration thequally weighteinx will be. BSis equally weighteinx, wherethe others are value weighteA is incorrebecause RFS is a value-weighteinx.B is incorrebecause is a value-weighteinx. 老师,歪个楼,发现一个规律,每次做hanook的题目就各种别扭,做原版书的题就很丝滑。请问考试的难度更接近哪个?hanook的题目,知识点也是考试的重点么?

2024-01-01 10:26 1 · 回答

NO.PZ202209060200004003這題可以通過判斷未來cret sprea高,要降低ration來選擇最小ration的portfolio 嗎?

2023-02-04 11:27 1 · 回答

NO.PZ202209060200004003问题如下If Puhuyesva’s focus is avoing cret quality terioration, whiof the South Americinxes shoulmost likely chosen on the basis of the information in Exhibit 2?A.RFSB.C.BSCASolutionC is correct. Comparewith other weighting schemes, suequally weighte value-weighteinxes are tiltetowarissuers with higher levels of bt. The more issuer or sector borrows, the greater the tilt towarthissuer in the inx. Leverage ancretworthiness are negatively correlate so a value-weighteinx will more susceptible to cret quality terioration thequally weighteinx will be. BSis equally weighteinx, wherethe others are value weighteA is incorrebecause RFS is a value-weighteinx.B is incorrebecause is a value-weighteinx.求问这个知识点在哪里

2023-01-25 13:10 1 · 回答