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ladycoco想放假 · 2021年06月06日

No.PZ201812020100000502

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NO.PZ201812020100000502

问题如下:

Which duration measure should be matched when implementing Strategy 2?

选项:

A.

Key rate

B.

Modified

C.

Macaulay

解释:

C is correct.

An investor having an investment horizon equal to the bond’s Macaulay duration is effectively protected, or immunized, from the first change in interest rates, because price and coupon reinvestment effects offset for either higher or lower rates.

为什么这道题不能选KRD呢?没说是parallel shift啊

1 个答案
已采纳答案

pzqa015 · 2021年06月07日

嗨,从没放弃的小努力你好:


为什么这道题不能选KRD呢?没说是parallel shift啊

---------------


同学你好,本题考察的是single liability下的免疫策略,免疫条件为:

1、PVA=PVL

2、MacDA=MacDL

3、Min Convexity

所以,duration measure是macaulay duration.

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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