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凉茶325 · 2023年01月31日

求解释B选项

  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.

求解释B选项 没看懂应该怎么比较

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1 个答案

pzqa015 · 2023年02月01日

嗨，努力学习的PZer你好：


Empirical duration tends to be smaller than its effective duration。原因在于，根据yC=yB+spread公式，我们计算effective时假设基准利率的变动对spread无影响，那么基准利率的变动可以完全传导至公司债折现率，即△yc=△yB，基于△P/P=-Effective duration*△yc，可以计算出effective duration。

Empirical duration通常用债券价格变动率对△yB进行回归得到，反映债券价格对基准利率的敏感程度；实务中，我们观察到spread与yB变化负相关这样一个现象，这种现象使得yB的变化不能完全传导至yC，使得△yc＜△yB，

那么由于△P/P=-effective duration*△yc=-empirical duration*△yB且△yc＜△yB，effective duration＞empirical duration。


 


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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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