NO.PZ2020033002000049
问题如下:
Assume bond duration D = K(T-t). If interest rate curve moves are parallel, stochastic with constant volatility, normally distributed, and independent. At what time will the maximum potential exposure be reached?
选项:
A.
T/4
B.
T/3
C.
2 T/3
D.
3 T/4
解释:
B is correct.
考点:Credit exposure
解析:
T/3 是取到最大值,可当做结论记忆。
具体推导过程可以参考 credit risk 强化班 Section 11 第二个视频。
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