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执瑞 Zhirui · 2024年07月28日

Three-Factor Model of Term Structure 给出这个表就是

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201701230200000306

问题如下：

6. Based on Exhibit 1, the results of Analysis 1 should show the yield on the 20-year bond decreasing by:

选项：

A.

0.3015%.

B.

0.6030%.

C.

0.8946%.

解释：

B is correct.

Because the factors in Exhibit 1 have been standardized to have unit standard deviations, a two standard deviation increase in the steepness factor will lead to the yield on the 20-year bond decreasing by 0.6030%, calculated as follows:

Change in 20-year bond yield = -0.3015% ×2 = -0.6030%.

只要是Three-Factor Model of Term Structure 给出这个表就是某个factor变动一个标准差，yield的变化对吗？

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1 个答案

吴昊_品职助教 · 2024年07月29日

嗨，从没放弃的小努力你好：


基本是这样的，但是具体的还是要以题目为准。这个可以注意表格后的小字。

这道题中，note：factor每上升一个标准差，带来的收益率的变化。

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NO.PZ201701230200000306 0.6030%. 0.8946%. B is correct. Because the factors in Exhibit 1 have been stanrzeto have unit stanrviations, a two stanrviation increase in the steepness factor will leto the yielon the 20-yeboncreasing 0.6030%, calculatefollows: Change in 20-yebonyiel= -0.3015% ×2 = -0.6030%.如题，能否从定性定量两个方面一下，谢谢

2021-06-06 17:09 1 · 回答

NO.PZ201701230200000306 0.6030%. 0.8946%. B is correct. Because the factors in Exhibit 1 have been stanrzeto have unit stanrviations, a two stanrviation increase in the steepness factor will leto the yielon the 20-yeboncreasing 0.6030%, calculatefollows: Change in 20-yebonyiel= -0.3015% ×2 = -0.6030%.第6、7小问的题干里分别问the yielon the 20/5 years bon如何变化，拆成三个factor不是求的是portfolio的变化吗？所以题目里给的一个标准差变动对债券收益率的影响也不是对组合收益率的影响而是具体某期限债券收益率的影响？

2021-04-27 13:39 1 · 回答

0.6030%. 0.8946%. B is correct. Because the factors in Exhibit 1 have been stanrzeto have unit stanrviations, a two stanrviation increase in the steepness factor will leto the yielon the 20-yeboncreasing 0.6030%, calculatefollows: Change in 20-yebonyiel= -0.3015% ×2 = -0.6030%.为什么不再乘以20ration？

2020-11-14 20:38 1 · 回答

老师好 这里是否因为有个note说entries incate how yiel woulchange for a one stanrviation increase in factor,所以就不用在乘以一个 KR是吗？ 这note 指的是上升一个stanrviation 20年的steepness， 债券的收益率下降0.3015%是吗？这里因为已经考虑了收益率的变化方向，如果没这note是否要再乘以一个KR= 20/3 不是乘以个- KR=-20/3 了是吗？谢谢。

2020-03-06 17:26 1 · 回答