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。
我可以理解为不止mbs abs而是全部的structured investment(包含CDO, CLO, Covered bond)都类似含权应该用effective duration吗? 不知道除了mbs abs 还有哪些结构化产品应该有effective duration.
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？
