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中二 · 2019年04月21日

问一道题:NO.PZ2016082404000023 [ FRM I ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

能否解释一下为什么利率下降时资产与负债之差会增大?我的想法是,如果利率下降,则要换的利息就变少了,所以利率下降是有好处的,这样想可能确实太简单了,所以误选了c。但答案里对利率下降导致赤子增加的解释不是很理解
1 个答案

品职答疑小助手雍 · 2019年04月21日

同学你好,这题要理解清楚duration的含义,解析里算出来的dollar duraion,负债的比资产的大,也就意味着当利率下降1%时,负债的增加会多于资产的增加,这时候赤字就变大了,所以要对冲这种情况。

wheat1029 · 2019年08月06日

请问dollar duration 是在哪里提到的内容?

品职答疑小助手雍 · 2019年08月06日

这个算是和duration的概念一起提到的吧,老师应该会在课程期间也穿插提到过,就是指利率变化1%时债券价值的变化

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