NO.PZ2020042003000085
问题如下:
Yield curve shapes have critical
implications for the investment decisions, which of the following is NOT
correct?
选项:
A. the yield curve contains an implicit forecast
of future interest rate changes. Positively sloped yield curves reflect the
average expectation in the market that future short-term interest rates will be
higher than today.
B.
Yield curves provide a clue
about overpriced and underpriced securities.
a security whose yield lies above the curve
represents a tempting sell situation.
In
the long run, yield curves send signals about what stage of the business cycle
the economy presently occupies.
解释:
考点:对Risk Management for Changing Interest
Rates: ALM and Duration Techniques-ALM
的理解
答案:C
解析:
当债券的yield位于Curve之上时,合理的策略应该是买入该债券。因此C选项表述错误。
关于A:
这里感觉说的太绝对了,upslope不一定说明未来的短期利率会上升吧?也有可能只是说大家对远期市场的需求比较高而已,或者是对于远期有更高的流动性补偿要求。如果要说A对的话,应该要说个前提“under XX利率理论之下”才对吧啊?
关于C:
a security whose yield lies above the curve represents a tempting sell situation.这里说实际的收益率比较高,那么真实价格上应该是比较低,也就是说市场的价格是高估了的,所以应该马上卖吧?为什么不是马上卖?