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Ivy1917 · 2025年05月08日

不是很理解

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NO.PZ202504240100010005

问题如下:

Bill Akron is Director of Research at Cuyahoga Fixed Income Advisors. He has a large staff of research analysts and each year adds six new hires to the group. In addition to their regular work assignments, the analysts undergo formal training conducted by Akron. He plans to have six modules over the coming weeks each covering key fixed-income concepts. In each module, Akron starts out by outlining a lesson.

Exhibit 1: Select Spot and Forward Rates

Exhibit 2: Yield Measures at Various Maturities

Exhibit 3: Factor Movements per One Standard Deviation Shift and Portfolio Key Rate Durations


Assuming rates change as described by Akron and based on Exhibit 3, the impact on the portfolio as outlined in Module 6 would be most likely be a loss in value from changes in:

选项:

A.level and a gain from changes in steepness.

B.level and a loss from changes in steepness.

C.steepness and a gain from changes in curvature.

解释:

Solution
  1. A is Incorrect because the portfolio would lose from steepness.

  2. B is correct. A parallel shift of the yield curve would result in a loss across each key rate duration given a sensitivity of 1. For example, a 100 basis point (bp) parallel shift would generate an approximately 4.7% loss in value. A flattening of the yield curve in the long end would result in a loss given a sensitivity of –1. For example, a 100 bp decline in the 30-year key rate duration would result in a loss of approximately 2.9% (–100 × –1 × –8.7 × 0.333). There is no impact from curvature, since the curve did not “twist.”

  3. C is incorrect because there is no change in curvature.

The Term Structure and Interest Rate Dynamics
  • explain how a bond’s exposure to each of the factors driving the yield curve can be measured and how these exposures can be used to manage yield curve risks

不是很理解 可以解释下这题目怎么计算么

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