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Stella · 2021年06月06日

可否详解一下此题原理

* 问题详情,请 查看题干

NO.PZ201701230200000306

问题如下:

6. Based on Exhibit 1, the results of Analysis 1 should show the yield on the 20-year bond decreasing by:

选项:

A.

0.3015%.

B.

0.6030%.

C.

0.8946%.

解释:

B is correct.

Because the factors in Exhibit 1 have been standardized to have unit standard deviations, a two standard deviation increase in the steepness factor will lead to the yield on the 20-year bond decreasing by 0.6030%, calculated as follows:

Change in 20-year bond yield = -0.3015% ×2 = -0.6030%.

如题,能否从定性定量两个方面解释一下,谢谢
1 个答案

WallE_品职答疑助手 · 2021年06月06日

嗨,努力学习的PZer你好:


分析师1说,steepness factor 增加2个标准差

表一Note里面表示的是一个标准差增加带来的变动

所以一个标准差steepness变动 -0.3015% ,现在问有2个所以直接✖️2

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努力的时光都是限量版,加油!

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NO.PZ201701230200000306 问题如下 6. Baseon Exhibit 1, the results of Analysis 1 shoulshow the yielon the 20-yeboncreasing by: A.0.3015%. B.0.6030%. C.0.8946%. B is correct.Because the factors in Exhibit 1 have been stanrzeto have unit stanrviations, a two stanrviation increase in the steepness factor will leto the yielon the 20-yeboncreasing 0.6030%, calculatefollows:Change in 20-yebonyiel= -0.3015% ×2 = -0.6030%. 只要是Three-Factor Mol of Term Structure 给出这个表就是某个factor变动一个标准差,yiel变化对吗?

2024-07-28 11:42 1 · 回答

NO.PZ201701230200000306 0.6030%. 0.8946%. B is correct. Because the factors in Exhibit 1 have been stanrzeto have unit stanrviations, a two stanrviation increase in the steepness factor will leto the yielon the 20-yeboncreasing 0.6030%, calculatefollows: Change in 20-yebonyiel= -0.3015% ×2 = -0.6030%.第6、7小问的题干里分别问the yielon the 20/5 years bon如何变化,拆成三个factor不是求的是portfolio的变化吗?所以题目里给的一个标准差变动对债券收益率的影响也不是对组合收益率的影响而是具体某期限债券收益率的影响?

2021-04-27 13:39 1 · 回答

0.6030%. 0.8946%. B is correct. Because the factors in Exhibit 1 have been stanrzeto have unit stanrviations, a two stanrviation increase in the steepness factor will leto the yielon the 20-yeboncreasing 0.6030%, calculatefollows: Change in 20-yebonyiel= -0.3015% ×2 = -0.6030%.为什么不再乘以20ration?

2020-11-14 20:38 1 · 回答

老师好 这里是否因为有个note说entries incate how yiel woulchange for a one stanrviation increase in factor,所以就不用在乘以一个 KR是吗? 这note 指的是上升一个stanrviation 20年的steepness, 债券的收益率下降0.3015%是吗?这里因为已经考虑了收益率的变化方向,如果没这note是否要再乘以一个KR= 20/3 不是乘以个- KR=-20/3 了是吗?谢谢。

2020-03-06 17:26 1 · 回答