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上小学 · 2023年08月27日

请问此题的四个选项分别是什么意思？谢谢

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000084

问题如下：

While the yield curve presents valuable information it has several limitations, which of the following statements is NOT the limitations of yield curve?

选项：

A.

Uncertainty over exactly how and why the curve appears the way it does at any particular moment.

B.

Does not tell the possibility of a change in the curve’s shape at any time.

C.

The yield curve does not tell the timing of cash flows expected from a security.

D.

The yield curve does not tell the how market interest rates differ varying term (time) to maturity.

解释：

考点：对Risk Management for Changing Interest Rates: ALM and Duration Techniques-ALM

的理解

答案：D

解析：

选项D描述错误，D选项描述的就是Yield curve的定义：how market interest rates differ varying term (time) to maturity.

请问此题不知道在讲啥，为什么选D。

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1 个答案

品职答疑小助手雍 · 2023年08月28日

同学你好，A的意思是收益率曲线本身没有办法解释曲线为什么呈现这样的形态；

B的意思是收益率曲线本身没有办法提供曲线形态变化的概率；

C的意思是收益率曲线和现金流的时间无关；

D的意思是收益率曲线没有说明利率是如何随期限变化的。

这题问的是收益率曲线的limitation，ABC说的都是，而收益率曲线本身就是描述利率如何随期限变化的，所以D只是描述了定义，而且是否定了定义，所以D错。

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