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金融民工阿聪 · 2021年05月04日

关于A和C

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.

C.

a security whose yield lies above the curve represents a tempting sell situation.

D.

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?

2 个答案

品职答疑小助手雍 · 2021年05月07日

嗨,努力学习的PZer你好:


对,所以收益率比市场利率高就应该买。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

品职答疑小助手雍 · 2021年05月04日

嗨,爱思考的PZer你好:


A这个未来的短期利率不就是forward rate么,那利率曲线向上倾斜表现的也就是forward rate未来比较高,反应的就是average expectation in the market that future short-term interest rates will be higher than today这个现象。

C选项收益率(这个收益率指的就是市场上价格反应出来的收益率)在目前的市场常规的收益率曲线上方,那它市场价格就是被低估了的,便宜了就应该买。

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努力的时光都是限量版,加油!

金融民工阿聪 · 2021年05月07日

这道题C选项的意思是这个security的yield是其标价的yield,而 the curve是实际真实的市场利率线。

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