NO.PZ202305230100005408
问题如下:
What impact would a “flight to safety” (i.e., government bond yields falling and credit spreads widening) have on the analytical duration estimate of Bond A?
选项:
A.Decreased duration
Increased duration
No impact
解释:
C is correct. There would be no impact on the analytical duration estimate. However, an empirical duration estimate would be impacted. A flight to safety would result in an increase in the bond price due to the falling benchmark yield being offset by widening credit spread. This would lead to a lower empirical duration than analytical duration.
这道题我理解的是,government yield falling,那么bondA的 YTM 也下降,价格上升,然后duration下降
这么想有什么问题?