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FrankSun · 2020年02月11日

问一道题:NO.PZ2018062006000117

问题如下:

A bond's sensitivity to shaping risk is best measured by:

选项:

A.

partial duration

B.

portfolio duration

C.

money duration

解释:

A is correct.

Partial duration, also known as key rate duration, measures a bond's sensitivity to a change in the benchmark yield curve at a specific maturity segment. It is a useful tool for measuring the effect of nonparallel shift in the yield curve, while portfolio and money duration can only measure the effect of parallel shift.

老师,shaping rate这个在哪里讲到的?是不是不是durantion的?

1 个答案

吴昊_品职助教 · 2020年02月11日

Shaping risk收益率曲线形状发生变化带来的风险,即收益率曲线非平行移动(收益率曲线变得更加陡峭、更平、曲度更大或者更小)对应知识点在基础班讲义P313页。