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iloveueat · 2019年06月09日

19年mock B AM第5个案例,第6小题,谢谢!

Q6. Assuming rates change as described by Akron and based on Exhibit 3, the impact on the portfolio as outlined in Module 6 would be most likely be a loss in value from changes in:

A.        level and a loss from changes in steepness.

B.        level and a gain from changes in steepness.

C.        steepness and a gain from changes in curvature.

Solution

A is correct. A parallel shift of the yield curve would result in a loss across each key rate duration given a sensitivity of 1. For example, a 100 basis point (bp) parallel shift would generate an approximately 4.7% loss in value. A flattening of the yield curve in the long end would result in a loss given a sensitivity of −1. For example, a 100 bp decline in the 30-year key rate duration would result in a loss of approximately 2.9% (−100 ×−1 ×−8.7 × 0.333). There is no impact from curvature, since the curve did not “twist.”

这里30年期下降100bp,价格变动难道不是-(8.7*(-1)),是个正数,怎么会是loss呢?


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已采纳答案

吴昊_品职助教 · 2019年06月09日

这道题的答案有误。这道题收录在我们的经典题中,是R34的5.2题,以何老师上课讲解为准。

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