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金融民工阿聪 · 2020年11月08日

问一道题:NO.PZ2020042003000092

问题如下:

Which of the following statements is correct?

选项:

A.

Convexity refers to a nonlinear relationship between changes in an asset’s price and changes in market interest rates.

B.

An asset or portfolio bearing both a low duration and low convexity normally displays relatively large market risk

C.

Convexity decreases with the duration (maturity) of an asset.

D.

Price risk is smaller when interest rates are low than when they are high.

解释:

考点:对Risk Management for Changing Interest Rates: ALM and Duration Techniques-The Concept of Duration as a Risk-Management Tool的理解

答案:A

解析:

选项A的表述正确。

B选项错误,low duration and low convexity的债券具有较低的Market risk。关于B选项正确的表述为:

An asset or portfolio bearing both a low duration and low convexity normally displays relatively small market risk.

C选项错误,随着债券Maturity的增加,债券的Convexity数据会增加,C选项改成正确的表述为:

Convexity increases with the duration (maturity) of an asset.

D选项错误,当利率降低时,Price risk更大,因为债券有较高的DurationD选项改为正确的表述为:

Price risk is greater when interest rates are low than when they are high.

B怎么理解呢,有点没看懂

2 个答案
已采纳答案

袁园_品职助教 · 2020年11月08日

duration 和 convexity 都是衡量债券价格对利率变化的敏感程度的,这两个指标越低表示对利率变化越不敏感,即market risk 低

金融民工阿聪 · 2020年11月08日

但是 convexity的存在不是可以让bond涨的快降得慢,不是好事吗

袁园_品职助教 · 2020年11月09日

利率降低的时候涨的越快不就代表market risk 越大吗?

 

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NO.PZ2020042003000092问题如下 Whiof the following statements iscorrect? Convexity refers to anonlinerelationship between changes in asset’s prianchanges inmarket interest rates. asset or portfolio bearingboth a low ration anlow convexity normally splays relatively large market risk Convexity creases with theration (maturity) of asset. Pricerisk is smaller when interest rates are low thwhen they are high. 考点对Risk Management for Changing InterestRates: ALM anration Techniques-The Concept of ration a Risk-ManagementTool的理解答案A解析A的表述正确。B错误,low rationanlow convexity的债券具有较低的Market risk。关于B正确的表述为asset or portfolio bearing both a lowration anlow convexity normally splays relatively small market risk. C错误,随着债券Maturity的增加,债券的Convexity数据会增加,C改成正确的表述为Convexity increases with the ration(maturity) of asset. 误,当利率降低时,Pricerisk更大,因为债券有较高的ration,为正确的表述为Pririsk is greater when interest ratesare low thwhen they are high. c是不是漏了单词c是不是漏了单词

2024-02-23 13:34 1 · 回答

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2023-10-29 17:44 1 · 回答

请问么理解,为什么利率低的时候受pririsk影响小

2020-10-30 20:16 1 · 回答

maturity减小,ration Convexity都减小嘛,C应该是对的嘛

2020-09-29 12:19 2 · 回答