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Feeling · 2022年08月17日

duration for HYB&IGB

  1. CFA III
  2. Fixed Income

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.

看了好几个答案，请问是不是这样的。从empirical duration比较，HYBIGB，因为利率一风水草动，差生受到的影响更大。

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已采纳答案

pzqa015 · 2022年08月18日

嗨，从没放弃的小努力你好：


HYB与IGB是没法直接比较duration的

只能说对于同一只HYB，empirical duration与analytical duration的差距更大，因为spread与yb的negative 程度更高。

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