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