组合R45-14

同学你好，以下是本题的解析：

B is correct. In order to simulate the impact of the latest financial crisis on the current bond portfolio holdings, McKee’s valuation model for bonds should use the historical yields of bonds with similar maturity. Historical yields drive the
pricing of bonds more than the price history or the current duration. Historical prices for the fixed-income positions currently held in the portfolio may not exist, and even when historical prices do exist, they may not be relevant to the current characteristics (e.g., maturity) of the instrument. Even if the same bonds existed at the time of the latest financial crisis, their durations would change because of the passage of time.

A is incorrect because using a bond’s past price history would mischaracterize the risk of the current portfolio holdings. For this reason, the historical yields are more important in explaining the risks. Historical prices for the fixedincome positions currently held in the portfolio may not exist, and even when historical prices do exist, they may not be relevant to the current characteristics (e.g., maturity) of the instrument.

C is incorrect because historical bond durations would not capture the current characteristics of the bonds in the portfolio. Duration is a sensitivity measure and is the weighted-average time to maturity of a bond. Even if the same bonds existed at the time of the latest financial crisis, their remaining time to maturity and durations would change because of the passage of time.