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awen · 2018年12月26日

问一道题:NO.PZ2018091701000077

这题的知识点在哪里?7.5怎么算出来的?答案没看懂

问题如下图:

    

选项:

A.

B.

C.

解释:



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已采纳答案

Shimin_CPA税法主讲、CFA教研 · 2018年12月27日

基础班讲义74页,sensitivity risk measure下,固收相关风险的衡量指标。

这道题既要满足降低利率风险,又要满足资产比重在45-55%的范围内。

已知两个bond合计为$47.5+$52.5=100million,给了资产比重,所以单个bond必须在45million-55million之间。

降低利率风险,就是减小duration,所以因为减少duration大的bond的权重。bond 2 duration更大,所以减小权重到下限,也就是45m。所以卖52.5-45=7.5

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