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lin · 2019年07月08日

问一道题:NO.PZ2016082404000023

问题如下图:

    

选项:


A.

B.

C.

D.

解释:


品职答疑小助手300羽 · 3月前

同学你好,这题的宗旨就是消除利率变化对财务赤字的不利影响(Asset-liability不能再扩大了)。用简单的假设利率变化1%,来产生以上变化的等式,计算上比较方便。

首先要看利率如何变化会使赤字变大,那就看利率增加或减少1%,A - L这个差会变大还是变小。那么直接假设利率减小1%,得出asset增加4000*8.254=33016million,liability增加5000*6.825=34125。这时候A -L会变大1109(不好)。反之利率增加1%是好的,也就是利率增加是不用有应对措施。

要抹平这个变大的1109,就要买期货,这时候利率上升---这里没有理解哦。不是说担心利率下降,gap变大,就买一个利率下降会带来收益的远期合约么。那么为什么不是sell contract???

1 个答案

orange品职答疑助手 · 2019年07月09日

同学你好,对于利率期货合约而言,当利率下降的时候,他是赚钱。所以这里他要进入利率期货合约的多头,来对冲利率下降带来的不利影响。


呵呵、、 · 2019年08月22日

所以题中most liquid interest rate futures 是欧洲美元期货吗

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