没懂positive和negative在这个地方是什么意思

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：

negative reinvestment risk.

no reinvestment risk.

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.

是风险变小还是变大？？

添加评论

1 个答案

吴昊_品职助教 · 2025年03月28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。

这里的positive和negative可以理解为正面影响和负面影响。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

添加评论

1
回答
0
关注
4
浏览

我要回答关注问题

相关问题

NO.PZ2023052301000045 问题如下 investor purchases a 12-year, 5.8% annubonaninten to sell it after 10 years. The Macaulration of the bonis 8.97 years. If interest rates fall 75 bps immeately after the purchase of the bon the investor faces: A.negative reinvestment risk. B.no reinvestment risk. C.positive reinvestment risk. A is correct. The investor hinvestment horizon of 10 years, whiis greater ththe Macaulration of 8.97 years. Therefore, reinvestment risk minates pririsk.B is incorrebecause the investor faces reinvestment risk because the investment horizon is higher ththe Macaulration.C is incorrebecause the investor faces negative coupon reinvestment risk, not positive coupon reinvestment risk, sinthe coupons will reinvestea lower interest rate. 我理解这里的gap算出来是负值，代表投资者面临reinvestment risk，但是答案negative reinvestment risk和positive reinvestment risknegative的risk不应该被理解成负的风险，即没有风险吗positive的risk才应该是有风险呀

2025-02-10 22:53 2 · 回答

NO.PZ2023052301000045 问题如下 investor purchases a 12-year, 5.8% annubonaninten to sell it after 10 years. The Macaulration of the bonis 8.97 years. If interest rates fall 75 bps immeately after the purchase of the bon the investor faces: A.negative reinvestment risk. B.no reinvestment risk. C.positive reinvestment risk. A is correct. The investor hinvestment horizon of 10 years, whiis greater ththe Macaulration of 8.97 years. Therefore, reinvestment risk minates pririsk.B is incorrebecause the investor faces reinvestment risk because the investment horizon is higher ththe Macaulration.C is incorrebecause the investor faces negative coupon reinvestment risk, not positive coupon reinvestment risk, sinthe coupons will reinvestea lower interest rate. 虽然题干说了一堆，但是最终问题是“If interest rates fall 75 bps immeately after the purchase of the bon the investor faces:“不是吗？刚买上债券连coupon都没收到过，怎么还有reinvestment risk呢？

2025-01-19 22:43 1 · 回答

2024-11-06 17:34 1 · 回答

NO.PZ2023052301000045 问题如下 investor purchases a 12-year, 5.8% annubonaninten to sell it after 10 years. The Macaulration of the bonis 8.97 years. If interest rates fall 75 bps immeately after the purchase of the bon the investor faces: A.negative reinvestment risk. B.no reinvestment risk. C.positive reinvestment risk. A is correct. The investor hinvestment horizon of 10 years, whiis greater ththe Macaulration of 8.97 years. Therefore, reinvestment risk minates pririsk.B is incorrebecause the investor faces reinvestment risk because the investment horizon is higher ththe Macaulration.C is incorrebecause the investor faces negative coupon reinvestment risk, not positive coupon reinvestment risk, sinthe coupons will reinvestea lower interest rate. reinvestment risk minates pririsk意味着negative reinvestment risk？

2024-05-08 15:02 1 · 回答