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洪铭泉 · 2024年05月17日

这是哪个知识点?

NO.PZ2023090201000078

问题如下:

For a fixed-rate bond, when interest rates decrease, the future value of reinvested coupon payments most likely:

选项:

A.decreases and the market price of the bond increases. B.increases and the market price of the bond decreases. C.increases and the market price of the bond increases.

解释:

A is correct.

There are two offsetting types of interest rate risk that affect the bond investor: coupon reinvestment risk and market price risk. The future value of reinvested coupon payments (and in a portfolio, the principal on bonds that mature before the horizon date) increases when interest rates go up and decreases when rates go down. The sale price on a bond that matures after the horizon date (and thus needs to be sold) decreases when interest rates go up and increases when rates go down

考点:Reinvestment Risk & Price Risk

解析:当利率下降的时候,再投资收益会下降,债券价格会上升。市场利率的改变对再投资收益和债券价格的影响是呈反向关系的。

For a fixed-rate bond, when interest rates decrease, the future value of reinvested coupon payments most likely:

1 个答案

吴昊_品职助教 · 2024年05月17日

嗨,爱思考的PZer你好:


本题考察的是两种互相抵消的利率风险,一个是reinvestment risk,另一个是price risk。

• 当市场利率上升,再投资收益上升,债券价格下降;

• 当市场利率下降,再投资收益下降,债券价格上升。(就是本题的情况,选A)

市场利率的改变对再投资收益和债券价格的影响是呈反向关系的。所以市场利率的改变会对投资者带来两方面的风险,一个是价格风险,另一个是再投资风险。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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