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
negative reinvestment risk
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?