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Frances · 2024年09月14日

什么情况下analytical更合适

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NO.PZ202305230100005407

问题如下:

For the two bonds under consideration, would analytical duration estimates or empirical duration estimates be most appropriate in conducting your analysis?

选项:

A.

Analytical duration estimates

B.

Empirical duration estimates

C.

Either type of estimate would be appropriate

解释:

B is correct. Since both Bond A and Bond B are corporate bonds, they have credit risk, and as such, empirical duration would be the most appropriate because benchmark yields and credit spreads may not be positively correlated.

如题

1 个答案

品职答疑小助手雍 · 2024年09月14日

嗨,从没放弃的小努力你好:


analytical duration来说,YTM只考虑Benchmark rate的改变

Empirical duration来讲,此时YTM同时考虑Benchmark rate改变与Spread改变

所以如果对国债这种基准利率产品计算的话,用analytical duration就可以,公司债这种带spread的就要用Empirical了

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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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