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LHY · 2020年08月23日

问一道题：NO.PZ2020042003000084

  1. FRM II
  2. Liquidity and Treasury Risk

问题如下：

While the yield curve presents valuable information it has several limitations, which of the following statements is NOT the limitations of yield curve?

选项：

A.

Uncertainty over exactly how and why the curve appears the way it does at any particular moment.

B.

Does not tell the possibility of a change in the curve’s shape at any time.

C.

The yield curve does not tell the timing of cash flows expected from a security.

D.

The yield curve does not tell the how market interest rates differ varying term (time) to maturity.

解释：

考点：对Risk Management for Changing Interest Rates: ALM and Duration Techniques-ALM

的理解

答案：D

解析：

选项D描述错误，D选项描述的就是Yield curve的定义：how market interest rates differ varying term (time) to maturity.

A 和 B是啥意思


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1 个答案

小刘_品职助教 · 2020年08月24日

同学你好，

A的意思是收益率曲线本身没有办法解释曲线为什么呈现这样的形态；

B的意思是收益率曲线本身没有办法提供曲线形态变化的概率。

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