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yulia · 2020年10月10日

问一道题:NO.PZ201812020100000804 第4小题 [ CFA III ]

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问题如下:

The yield curve expectation that Abram’s supervisor targets with Scenario 1 is most likely a:

选项:

A.

flattening yield curve.

B.

reduction in yield curve curvature.

C.

100 bps parallel shift downward of the yield curve.

解释:

A is correct.

Scenario 1 is an extreme barbell and is typically used when the yield curve flattens. In this case, the 30-year bond has larger price gains because of its longer duration and higher convexity relative to other maturities. If the yield curve flattens through rising short-term interest rates, portfolio losses are limited by the lower price sensitivity to the change in yields at the short end of the curve while the benchmark’s middle securities will perform poorly

c选项parallel shift的话barbell是outperform bullet的 那么应该可以选c啊
1 个答案

WallE_品职答疑助手 · 2020年10月11日

同学您好,

如果100 bps parallel shift downward of the yield curve.那他这个情景就没必要把中期的exposure给卖掉了,因为您知道的利率下降,债券的价格会上升,如果中期也能享受到上涨福利,那他还卖中期的干嘛呢?

所以和情景一描述不符,不选C。

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