NO.PZ2023052301000047
问题如下：
Hightest Capital purchases a seven-year, 6.4% coupon bond and has an intended investment horizon of four years. The Macaulay duration of the bond is 5.86 years. If interest rates increase by 50 bps immediately after buying the bond, Hightest Capital faces:
选项：
A.negative price risk.
negative reinvestment risk.
positive price risk.
解释：
A is correct. Hightest Capital’s investment horizon is four years, which is less than the bond’s Macaulay duration of 5.86 years. Therefore, price risk dominates reinvestment risk and Hightest Capital faces price risk from rising interest rates.
B is incorrect because the increase in interest rates is beneficial for coupon reinvestment. Therefore, Hightest Capital has positive reinvestment risk.
C is incorrect because Hightest Capital faces the risk that the price of the bond will fall as a result of the 50 bp increase in interest rates and therefore has negative price risk.
Hightest Capital purchases a seven-year, 6.4% coupon bond and has an intended investment horizon of four years. The Macaulay duration of the bond is 5.86 years. If interest rates increase by 50 bps immediately after buying the bond, Hightest Capital faces:
