Alex · 2025年01月21日
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NO.PZ201812020100000502
问题如下：
Which duration measure should be matched when implementing Strategy 2?
选项：
A.Key rate
B.Modified
C.Macaulay
解释：
C is correct.
An investor having an investment horizon equal to the bond’s Macaulay duration is effectively protected, or immunized, from the first change in interest rates, because price and coupon reinvestment effects offset for either higher or lower rates.
如题，这两个Duration有点记不清了，老师可以帮忙回忆总结下吗？比如区别？适用范围？
NO.PZ201812020100000502问题如下 Which ration measure shoulmatchewhen implementing Strategy 2? Key rateMofie. Macaulay C is correct. An investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates. 想问下 immunization 其实是要资产和负债对利率的敏感程度一致，不是mofieration 更合适？
NO.PZ201812020100000502 问题如下 Which ration measure shoulmatchewhen implementing Strategy 2? Key rate Mofie Macaulay C is correct. An investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates. 1、老师能帮忙区分下这三个ration嘛2、看了一些答案的解析有点混淆了，single lia和multiple的immunization的条件，我怎么记得最后都是直接asstBVP大于等于lia的BVP，然后asset的convexity大于lia的、但要尽量小？
NO.PZ201812020100000502 问题如下 Which ration measure shoulmatchewhen implementing Strategy 2? Key rate Mofie Macaulay C is correct. An investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates. 请问continuously matching ration该怎么理解？我可能是被这个单词误导了，我一直以为是“连续不断地”或者“持续地” matration，那这样就包含了利率非平行移动的情况，所以就选了A。
NO.PZ201812020100000502问题如下 Which ration measure shoulmatchewhen implementing Strategy 2? Key rate Mofie Macaulay C is correct. An investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates. 前面才说的“Kepler asks Ng for fferent strategies to manage the interest rate risk of the city’s fixeincome investment portfolio against one-time shifts in the yielcurve.”，不是说明曲线没有平行移动吗？
NO.PZ201812020100000502
