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tomatocall · 2025年06月11日

NO.2018122701000045

  1. FRM II
  2. Market Risk Measurement And Management
其它问题 III为啥是正确的，请解释一下
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pzqa39 · 2025年06月11日

嗨，努力学习的PZer你好：


III. 在久期映射法下，债券的风险被映射至具有相同久期的零息债券。

  1. 久期是啥？ 久期就是衡量债券价格对利率变化有多敏感，比如久期 5 年的债券，利率涨 1%，价格大概跌 5%。
  2. 零息债券的特点：零息债只在到期日还钱，所以它的久期就等于到期时间（比如 5 年期零息债久期就是 5 年）。
  3. 映射的逻辑：如果一个附息债券（定期付息的债券）的久期是 5 年，那就把它当成 “一个 5 年期的零息债” 来算风险。这样不管原来的债券现金流多复杂，都简化成一个到期日的风险，方便计算


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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