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Eve · 2020年05月17日

问一道题：NO.PZ2020042003000080 [ FRM II ]

  1. FRM II
  2. Liquidity and Treasury Risk

问题如下：

Yield curves provide a clue about overpriced and underpriced securities, Security A and B have the same investment risks. If security A’s yield lies below the current yield and security B’s yield lies above the current yield, which of the following statement is correct?

选项：

A.

Security A is currently undervalued, and security B is currently overvalued

B.

Security B is currently overvalued, and security B is currently undervalued

C.

Both Security A and Security B is currently overvalued

D.

Both Security A and Security B is currently undervalued

解释：

考点：对Maturity Management Tools的理解

答案：B

解析：

Security A的收益率在current yield下方，代表Security A相对被高估，Security B的收益率在Current yield的上方，代表Security B相对被低估。

请问B选项是不是typo了
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1 个答案

袁园_品职助教 · 2020年05月18日

是的，谢谢同学提醒，已通知后台老师尽快修改！

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NO.PZ2020042003000080 问题如下 Yielcurves provi a clue aboutoverpriceanunrpricesecurities, Security A anB have the sameinvestment risks. If security A’s yiellies below the current yielanecurity B’s yiellies above the current yiel whiof the followingstatement is correct? Security A is currently unrvalue anecurity B is currently overvalue Security A is currently overvalue anecurity B is currently unrvalue Both Security A anSecurityB is currently overvalue Both Security A anSecurity B is currently unrvalue 考点对Maturity Management Tools的理解答案B解析Security A的收益率在currentyiel方，代表Security A相对被高估，SecurityB的收益率在Current yiel上方，代表SecurityB相对被低估。 理论上yiel应该代表它present value低啊，就像中债估值高证明这个债券不值钱

2022-06-12 19:57 1 · 回答

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2022-02-05 23:13 1 · 回答

NO.PZ2020042003000080 老师好，视频里这块就没听懂，这里的yielcurve是指 spot yielcurve吧，如果是上斜，债券的无套利YTM就应该是小于其maturity等同的spot rate啊

2022-02-03 21:34 1 · 回答

NO.PZ2020042003000080 这题怎么知道说的不是价格高估低估呢？

2021-11-30 19:35 1 · 回答

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2021-05-03 19:47 1 · 回答