开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Frances · 2024年09月14日

什么情况下analytical更合适

* 问题详情,请 查看题干

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

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 29

    浏览
相关问题