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FrankSun · 2020年02月11日

问一道题:NO.PZ2016031001000117

问题如下:

Which of the following is most appropriate for measuring a bond’s sensitivity to shaping risk?

选项:

A.

key rate duration

B.

effective duration

C.

modified duration

解释:

A is correct.

Key rate duration is used to measure a bond’s sensitivity to a shift at one or more maturity segments of the yield curve which result in a change to yield curve shape. Modified and effective duration measure a bond’s sensitivity to parallel shifts in the entire curve.

KEY RATE在哪里讲到的啊

1 个答案

吴昊_品职助教 · 2020年02月11日

key rate duration在基础班讲义P313页。Shaping risk是收益率曲线形状发生变化带来的风险即非平行移动(收益率曲线更加陡峭、更平、曲度更大或者更小)Modified 、Effective duration关注的是收益率曲线整体的平行移动;Key rate duration关注收益率曲线局部的变动(形状发生变化Shaping risk)。