开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Feeling · 2022年08月17日

请问是强化班讲义上的哪一个考点?

NO.PZ2021120102000005

问题如下:

An active fixed-income manager holds a portfolio of commercial and residential mortgage-backed securities that tracks the Bloomberg Barclays US Mortgage-Backed Securities Index. Which of the following choices is the most relevant portfolio statistic for evaluating the first-order change in his portfolio’s value for a given change in benchmark yield?

选项:

A.

Effective duration

B.

Macaulay duration

C.

Modified duration

解释:

A is correct.

Effective duration is a yield duration statistic that measures interest rate risk using a parallel shift in the benchmark yield curve (ΔCurve).

Effective duration measures interest rate risk for complex bonds whose future cash flows are uncertain because they are contingent on future interest rates. Both Macaulay duration (B) and modified duration (C) are relevant statistics only for option-free bonds.

备注:本题题干说明是投资MBS与CMBS(commercial and residential mortgage-backed securities)。由于MBS、CMBS的基础资产为房贷,而房贷存在提前偿还的“期权”,所以本题的投资组合可以理解为含权债券(类似Callable bond),因此应该使用Effective duration。

MBS像callable bond,请问是强化班讲义上的哪一个考点?

1 个答案
已采纳答案

pzqa015 · 2022年08月18日

嗨,爱思考的PZer你好:


这是二级讲过的知识点

MBS隐含着底层借款人可以提前还款的权利,与callable的发行人可以提前赎回类似,所以,MBS与callable bond类似。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 498

    浏览
相关问题

NO.PZ2021120102000005 问题如下 active fixeincome manager hol a portfolio ofcommercianresintimortgage-backesecurities thtracks the BloombergBarclays US Mortgage-BackeSecurities Inx. Whiof the following choices isthe most relevant portfolio statistic for evaluating the first-orr change inhis portfolio’s value for a given change in benchmark yiel A.Effectiveration B.Macaulration C.Mofieration A is correct.Effective ration is a yielrationstatistic thmeasures interest rate risk using a parallel shift in thebenchmark yielcurve (ΔCurve). Effective ration measures interest rate riskfor complex bon whose future cash flowsare uncertain because they are contingent on future interest rates. BothMacaulration (anmofieration (are relevant statistionlyfor option-free bon. 备注本题题干说明是投资MBS与CMBS(commercianresintimortgage-backesecurities)。由于MBS、CMBS的基础资产为房贷,而房贷存在提前偿还的“期权”,所以本题的投资组合可以理解为含权债券(类似Callable bon,因此应该使用Effective ration。 老师可以一下mofieration 和mration 的区别和用途吗

2024-06-22 11:36 1 · 回答

NO.PZ2021120102000005 问题如下 active fixeincome manager hol a portfolio ofcommercianresintimortgage-backesecurities thtracks the BloombergBarclays US Mortgage-BackeSecurities Inx. Whiof the following choices isthe most relevant portfolio statistic for evaluating the first-orr change inhis portfolio’s value for a given change in benchmark yiel A.Effectiveration B.Macaulration C.Mofieration A is correct.Effective ration is a yielrationstatistic thmeasures interest rate risk using a parallel shift in thebenchmark yielcurve (ΔCurve). Effective ration measures interest rate riskfor complex bon whose future cash flowsare uncertain because they are contingent on future interest rates. BothMacaulration (anmofieration (are relevant statistionlyfor option-free bon. 备注本题题干说明是投资MBS与CMBS(commercianresintimortgage-backesecurities)。由于MBS、CMBS的基础资产为房贷,而房贷存在提前偿还的“期权”,所以本题的投资组合可以理解为含权债券(类似Callable bon,因此应该使用Effective ration。 老师您好,我在做这道题的时候,不是从含权债券的角度来考虑的,而是我在cret strategies这个章节中,有个印象基于YTM的yielcurve ration包含macaulration, mofieration;基于Benchmark rate的benchmark ration包含effective ration。题目说了是基于Benchmark rate的ration,所以我选了effective ration。这两个解题思路的本质是一样的吗?

2024-06-07 23:53 1 · 回答

NO.PZ2021120102000005问题如下 active fixeincome manager hol a portfolio ofcommercianresintimortgage-backesecurities thtracks the BloombergBarclays US Mortgage-BackeSecurities Inx. Whiof the following choices isthe most relevant portfolio statistic for evaluating the first-orr change inhis portfolio’s value for a given change in benchmark yiel A.EffectiverationB.MacaulrationC.Mofieration A is correct.Effective ration is a yielrationstatistic thmeasures interest rate risk using a parallel shift in thebenchmark yielcurve (ΔCurve). Effective ration measures interest rate riskfor complex bon whose future cash flowsare uncertain because they are contingent on future interest rates. BothMacaulration (anmofieration (are relevant statistionlyfor option-free bon. 备注本题题干说明是投资MBS与CMBS(commercianresintimortgage-backesecurities)。由于MBS、CMBS的基础资产为房贷,而房贷存在提前偿还的“期权”,所以本题的投资组合可以理解为含权债券(类似Callable bon,因此应该使用Effective ration。 我可以理解为不止mabs而是全部的structureinvestment(包含C, CLO, Coverebon都类似含权应该用effective ration吗? 不知道除了ma还有哪些结构化产品应该有effective ration.关键的核心点在于评估investment本身是否可以prepayment或者是否可以有特定event trigger收益变化?

2024-04-21 17:19 2 · 回答

NO.PZ2021120102000005问题如下 active fixeincome manager hol a portfolio ofcommercianresintimortgage-backesecurities thtracks the BloombergBarclays US Mortgage-BackeSecurities Inx. Whiof the following choices isthe most relevant portfolio statistic for evaluating the first-orr change inhis portfolio’s value for a given change in benchmark yiel A.EffectiverationB.MacaulrationC.Mofieration A is correct.Effective ration is a yielrationstatistic thmeasures interest rate risk using a parallel shift in thebenchmark yielcurve (ΔCurve). Effective ration measures interest rate riskfor complex bon whose future cash flowsare uncertain because they are contingent on future interest rates. BothMacaulration (anmofieration (are relevant statistionlyfor option-free bon. 备注本题题干说明是投资MBS与CMBS(commercianresintimortgage-backesecurities)。由于MBS、CMBS的基础资产为房贷,而房贷存在提前偿还的“期权”,所以本题的投资组合可以理解为含权债券(类似Callable bon,因此应该使用Effective ration。 - **Macaulration**: Measures the weighteaverage time until all cash flows from a bonare receive It is a measure of bons prisensitivity to changes in its yielto maturity but es not rectly account for interest rate changes.- **Mofieration**: Austs the Macaulration to more accurately reflethe bons prisensitivity to immeate, small changes in interest rates, assuming fixecash flows. It measures the percentage change in prifor a parallel shift in the yielcurve.- **Effective ration**: Accounts for how a bons cash flows mchange when interest rates change, whiis important for bon with embeeoptions like mortgage-backesecurities. It measures the bons prisensitivity to non-parallel shifting of the yielcurve, making it more appropriate for bon with optionality.

2023-12-06 11:10 1 · 回答

NO.PZ2021120102000005问题如下 active fixeincome manager hol a portfolio ofcommercianresintimortgage-backesecurities thtracks the BloombergBarclays US Mortgage-BackeSecurities Inx. Whiof the following choices isthe most relevant portfolio statistic for evaluating the first-orr change inhis portfolio’s value for a given change in benchmark yiel A.EffectiverationB.MacaulrationC.Mofieration A is correct.Effective ration is a yielrationstatistic thmeasures interest rate risk using a parallel shift in thebenchmark yielcurve (ΔCurve). Effective ration measures interest rate riskfor complex bon whose future cash flowsare uncertain because they are contingent on future interest rates. BothMacaulration (anmofieration (are relevant statistionlyfor option-free bon. 备注本题题干说明是投资MBS与CMBS(commercianresintimortgage-backesecurities)。由于MBS、CMBS的基础资产为房贷,而房贷存在提前偿还的“期权”,所以本题的投资组合可以理解为含权债券(类似Callable bon,因此应该使用Effective ration。 如题,题干中的这个是什么意思

2023-05-08 12:55 1 · 回答