问题如下:
Harry, a fund manager in Alpha Investment, has a $100 bond portfolio. He expects an increase in interest rate in the near future. Apart from scenario analysis, which risk measures below can help him to assess the relevant risk?
选项: delta and
gamma
duration and convexity
C.tracking error and VaR
解释:
B is correct.
考点: Risk measures
解析:这是一个与债券相关的portfolio,duration 和convexity可以很好的衡量债券的利率风险。delta and gamma衡量的是。
我按顺序刚开始听课,想请问剩下选项的知识点是不是之后会学啊?