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張寶寶 · 2024年05月11日

negative risks or positive?

NO.PZ2023120801000071

问题如下:

Hightest Capital purchases a seven-year, 6.4% coupon bond and has an intended investment horizon of four years. The Macaulay duration of the bond is 5.86 years. If interest rates increase by 50 bps immediately after buying the bond, Hightest Capital faces:

选项:

A.

negative price risk

B.

negative reinvestment risk

C.

positive price risk

解释:

Correct Answer: A

Hightest Capital’s investment horizon is four years, which is less than the bond’s Macaulay duration of 5.86 years. Therefore, price risk dominates reinvestment risk and Hightest Capital faces price risk from rising interest rates.

如何区分negative还是positive?

1 个答案

吴昊_品职助教 · 2024年05月11日

嗨,努力学习的PZer你好:


本题考察duration gap。Duration gap = Macaulay duration – investment horizon

麦考利久期为5.86,投资期为四年,因此duration gap为正,此时price risk占主导。现在利率上升了50bp,price risk害怕的就是利率上升,所以会受到一个负面影响。

因此选A:negative price risk,price risk占主导,并且受到负面影响。

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