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温酒 · 2024年07月22日

老师, 这题看糊涂了,请解释一下

NO.PZ2023052301000095

问题如下:

Which of the following adverse consequences is most likely associated with extension risk?

选项:

A.

Investors must reinvest the proceeds at lower interest rates.

B.

Higher interest rates reduce the value of the cash flows investors receive.

C.

The prepayment option reduces the potential price appreciation for the bond.

解释:

The correct answer is B. Extension risk is the risk that the borrower might pay back the money borrowed more slowly than anticipated, extending the time of repayment and the maturity of the bond. For investors, this has one adverse consequence: Higher interest rates reduce the value of the cash flows investors receive. The payments the investors receive will be discounted at a higher interest rate, and the extension stretches out the payments the investors receive.

A is incorrect because contraction risk (the risk that the borrower might pay back the money borrowed more quickly than anticipated, reducing the amount of future payments the investor receives), not extension risk, has the adverse consequence that investors must reinvest the proceeds at lower interest rates.

C is incorrect because contraction risk (the risk that the borrower might pay back the money borrowed more quickly than anticipated, reducing the amount of future payments the investor receives), not extension risk, has the adverse consequence that the prepayment option reduces the potential price appreciation for the bond.

Which of the following adverse consequences is most likely associated with extension risk?

您的回答A, 正确答案是: B

A

不正确Investors must reinvest the proceeds at lower interest rates.

B

Higher interest rates reduce the value of the cash flows investors receive.

C

The prepayment option reduces the potential price appreciation for the bond.


解析

The correct answer is B. Extension risk is the risk that the borrower might pay back the money borrowed more slowly than anticipated, extending the time of repayment and the maturity of the bond. For investors, this has one adverse consequence: Higher interest rates reduce the value of the cash flows investors receive. The payments the investors receive will be discounted at a higher interest rate, and the extension stretches out the payments the investors receive.

A is incorrect because contraction risk (the risk that the borrower might pay back the money borrowed more quickly than anticipated, reducing the amount of future payments the investor receives), not extension risk, has the adverse consequence that investors must reinvest the proceeds at lower interest rates.

C is incorrect because contraction risk (the risk that the borrower might pay back the money borrowed more quickly than anticipated, reducing the amount of future payments the investor receives), not extension risk, has the adverse consequence that the prepayment option reduces the potential price appreciation for the bond.

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品职答疑小助手雍 · 2024年07月23日

同学你好,这题问的是哪种情况会伴随extension risk产生。

首先,extension risk指的是借款人borrower较(出借人lender预计的情况)更晚还款的风险。

更晚还款意味着lender收到钱的时间推迟,那么在高利率的时候,lender用这笔钱再投资的收益就会变少,即B选项正确。

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