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xiaoe · 2024年07月23日

这道题可以解释下么

NO.PZ2023040701000027

问题如下:

Scott asks Bird to evaluate the impact of yield curve movements on fixed-income securities. Bird constructs a yield curve factor model that describes three independent yield curve movements. The yield curve movements are shown in Exhibit 2.

Using the information provided in Exhibit 2, the movements characterized by Factor 1, Factor 2, and Factor 3, respectively, are most likely:

选项:

A.

level, steepness, and curvature.

B.

curvature, level, and steepness.

C.

steepness, curvature, and level.

解释:

Correct Answer: C

Factor 1, Factor 2, and Factor 3 represent movements in steepness, curvature, and level, respectively. Factor 1 represents a change in steepness in the yield curve because the changes in yield increase through each maturity point. Factor 2 represents a change in curvature in the yield curve because the changes in the front end and back end of the curve are different from the change in the middle of the curve. Factor 3 represents a change in level in the yield curve because the changes in yield are essentially the same across all maturity points.

这道题可以解释下么

1 个答案

品职答疑小助手雍 · 2024年07月24日

同学你好,这题单纯考steepness, curvature, and level.的定义。

短期上升低于长期,那就是变陡峭了,即steepness。

中间期限与短期和长期变化方向不同,即curvature。

所有期限基本同向变动即level。

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