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一只可爱的猪 · 2020年03月02日

问一道题:NO.PZ2016031001000130

问题如下:

The holding period for a bond at which the coupon reinvestment risk offsets the market price risk is best approximated by:

选项:

A.

duration gap.

B.

modified duration.

C.

Macaulay duration.

解释:

C is correct.

When the holder of a bond experiences a one-time parallel shift in the yield curve, the Macaulay duration statistic identifies the number of years necessary to hold the bond so that the losses (or gains) from coupon reinvestment offset the gains (or losses) from market price changes. The duration gap is the difference between the Macaulay duration and the investment horizon. Modified duration approximates the percentage price change of a bond given a change in its yield-to-maturity.

当gap=0的时候,不就是相等的时候吗,为什么不选A

2 个答案

吴昊_品职助教 · 2020年10月22日

同学你好:

题目中的holding period持有期就是投资期investment horizon的意思。题目在问等两个风险相互抵消的时候,什么等于投资期,那就只能是麦考利久期了。

吴昊_品职助教 · 2020年03月02日

当再投资风险和市场风险相抵消的时候,也就是投资期等于麦考利久期。此时,两者之差是duation gap=0。题目问的是当两个风险相互抵消的时候,能够衡量投资期的是什么,所以我们选的是麦考利久期。

FrankSun · 2020年10月21日

吴老师,那这道题如果加一个选项为Investment Horizon,那可以选择Investment Horizon吗?谢谢!

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NO.PZ2016031001000130 问题如下 The holng periofor a bonwhithe coupon reinvestment risk offsets the market pririsk is best approximateby: A.ration gap. B.mofieration. C.Macaulration. C is correct.When the holr of a bonexperiences a one-time parallel shift in the yielcurve, the Macaulration statistic intifies the number of years necessary to holthe bonso ththe losses (or gains) from coupon reinvestment offset the gains (or losses) from market prichanges. The ration gis the fferenbetween the Macaulration anthe investment horizon. Mofieration approximates the percentage prichange of a bongiven a change in its yielto-maturity. 考点Interest Rate Risk Investment Horizon解析当再投资风险和市场风险相抵消的时候,也就是投资期等于麦考利久期。此时,两者之差是ation gap=0。题目问的是当两个风险相互抵消的时候,能够衡量投资期的是什么,所以我们选的是麦考利久期,故C正确。 为什么不选A,语言文字游戏?

2023-07-30 23:04 1 · 回答

NO.PZ2016031001000130 问题如下 The holng periofor a bonwhithe coupon reinvestment risk offsets the market pririsk is best approximateby: A.ration gap. B.mofieration. C.Macaulration. C is correct.When the holr of a bonexperiences a one-time parallel shift in the yielcurve, the Macaulration statistic intifies the number of years necessary to holthe bonso ththe losses (or gains) from coupon reinvestment offset the gains (or losses) from market prichanges. The ration gis the fferenbetween the Macaulration anthe investment horizon. Mofieration approximates the percentage prichange of a bongiven a change in its yielto-maturity. 考点Interest Rate Risk Investment Horizon解析当再投资风险和市场风险相抵消的时候,也就是投资期等于麦考利久期。此时,两者之差是ation gap=0。题目问的是当两个风险相互抵消的时候,能够衡量投资期的是什么,所以我们选的是麦考利久期,故C正确。 看了解析及其他人的提问,也明白二者相互抵消的时候ration g =0, 还是不明白为什么麦考利久期就可以衡量呢??

2022-11-07 18:41 1 · 回答

holng perio是持有期的意思吗?并不是再投资期限意思啊

2019-11-04 02:22 1 · 回答

该知识点在哪个视频?还是理解得不透彻。求讲解知识点。

2019-08-19 21:57 1 · 回答