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Othor · 2022年01月25日

这道题是maturity management tools的练习题吧？

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000084

问题如下：

While the yield curve presents valuable information it has several limitations, which of the following statements is NOT the limitations of yield curve?

选项：

A.

Uncertainty over exactly how and why the curve appears the way it does at any particular moment.

B.

Does not tell the possibility of a change in the curve’s shape at any time.

C.

The yield curve does not tell the timing of cash flows expected from a security.

D.

The yield curve does not tell the how market interest rates differ varying term (time) to maturity.

解释：

考点：对Risk Management for Changing Interest Rates: ALM and Duration Techniques-ALM

的理解

答案：D

解析：

选项D描述错误，D选项描述的就是Yield curve的定义：how market interest rates differ varying term (time) to maturity.

同标题

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1 个答案

李坏_品职助教 · 2022年01月25日

嗨，爱思考的PZer你好：


对，属于Maturity management tools，内容具体对应的是liquidity risk 基础班讲义P292的内容。




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