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重生之我是johnhull · 2022年02月09日

为啥C不对

NO.PZ2021120102000010

问题如下:

Which of the following statements best describes empirical duration?

选项:

A.

A common way to calculate a bond’s empirical duration is to run a regression of its price returns on changes in a benchmark interest rate.

B.

A bond’s empirical duration tends to be larger than its effective duration.

C.

The price sensitivity of high-yield bonds to interest rate changes is typically higher than that of investment-grade bonds

解释:

A is correct. A bond’s empirical duration is often estimated by running a regression of its price returns on changes in a benchmark interest rate.

虽然讲义上有个结论是Yb和spread 会抵消,但是何老师不是还有句话叫作差生更容易受到环境的影响吗?因此你可以把HYB看作是差生,那么不还是他受影响大嘛

Jeff Yang · 2022年02月09日

同学您好 这道题考察的是关于empirical duration的定义。C选项虽然本身正确不过与题意无关联。empirical duration是用统计回归的方法估算出来的所以A选项正确

1 个答案

pzqa015 · 2022年02月10日

嗨,爱思考的PZer你好:


差生更容易受到环境的影响没错,这里套用到HYB上,是指HYB的spread更易受到环境影响,由于yb与spread变动方向相反,同时HYB的spread变动更大,那么根据yc=yb+spread,环境变化时,HYB的yc变化更小(因为spread变化大,更大程度上抵消yb的变化,导致轧差值yc的变化小),由于yc变化小,所以HYB的price sensitivity是小于IG的,故C错了。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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