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二狗 · 2024年11月06日

它都叫risk了

NO.PZ2023052301000045

问题如下:

An investor purchases a 12-year, 5.8% annual bond and intends to sell it after 10 years. The Macaulay duration of the bond is 8.97 years. If interest rates fall by 75 bps immediately after the purchase of the bond, the investor faces:

选项:

A.

negative reinvestment risk.

B.

no reinvestment risk.

C.

positive reinvestment risk.

解释:

A is correct. The investor has an investment horizon of 10 years, which is greater than the Macaulay duration of 8.97 years. Therefore, reinvestment risk dominates price risk.

B is incorrect because the investor faces reinvestment risk because the investment horizon is higher than the Macaulay duration.

C is incorrect because the investor faces negative coupon reinvestment risk, not positive coupon reinvestment risk, since the coupons will be reinvested at a lower interest rate.

不应该是数值越大代表risk越大吗……

1 个答案

吴昊_品职助教 · 2024年11月07日

嗨,从没放弃的小努力你好:


本题考察duration gap。duration gap=Macaulay duration-investment horizon。

题干信息:麦考利久期为8.97,投资期为10年,因此duration gap为负,此时reinvestment risk占主导。

现在利率下降了75bp,再投资风险会因为利率下降受到负面影响。(再投资风险最怕的就是利率下降)

因此选A:negative reinvestment risk。

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