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一只可爱的猪 · 2021年04月28日

辛苦老师

  1. CFA II
  2. Portfolio

* 问题详情，请 查看题干

NO.PZ201512181000007205

问题如下：

Based only on Exhibits 2 and 3, it is most likely that under:

选项：

A.

Scenario 1, Bond 2 outperforms Bond 1

B.

Scenario 2, Bond 1 underperforms Bond 3.

C.

Scenario 3, Bond 3 is the best performing security

解释：

C is correct. The change in value of a bond is inversely related to a change in yield. Given a bond priced at B with duration D and yield change of Δy, the rate of return or percentage price change for the bond is approximately given as follows: ΔB/B ≈ -DΔy/(1 + y). Under Scenario 3, interest rates decrease by 20 bps. In an environment of decreasing interest rates, the bond with the highest duration will have the greatest positive return. Bond 3 has a duration of 10.2, which is greater than that of both Bond 1 (duration = 1.3) and Bond 2 (duration = 3.7).

老师，可以把这几个公式给我们呈现一下吗？既然我们都问了，就辛苦老师了！麻烦不要只回答，叫我们去 固收看，好吗！拜托了！求知若渴

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1 个答案

星星_品职助教 · 2021年04月28日

同学你好，

这道题并不需要用到公式。从定义出发即可。（modified）duration衡量的是利率变化1%，价格反向变化百分之几。当利率变化都相同的时候，duration大的债券价格变化的多。（由于利率变化是相同的，此时macaulay duration和modified duration一致，不需要区分）

所以在scenario 1中，利率上升价格下降，此时duration更大的bond 2表现差；scenario 2中，利率上升价格下降，此时duration更大的bond 3表现差；所以A，B对应的scenario里的描述都反了。

只有在scenario 3里，利率下降，价格上升，此时duration大的bond 3表现最好，描述正确。

------

duration的公式是在固收中讲的，组合中并没有这个公式和相关考点。组合中的这个考点是在了解duration的前提下，对其作为risk measure的应用进行讨论。

这章的其他risk measure如β，delta/gamma的处理也如此。组合里只是应用，具体的概念的学习要在相应科目中进行。

从考试的角度出发，这种内容基本上不可能在组合科目里考察，也是在相关的科目中考察。

所以这个小节习题的处理方式是学完了相应的risk measure后，再回来做这些题目。

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