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bunnymiss · 2020年03月10日

问一道题:NO.PZ2020011303000234 [ FRM I ]

问题如下:

What is the difference between a 01 measure and the corresponding duration measure?

解释:

The 01 measure shows the dollar change in the value of the portfolio for a small change in the term structure. The corresponding duration measure shows the percentage change in the value of the portfolio for a small change in the term structure. The 01 measure is a per basis point change. For the duration measure, interest rates are measured as decimals.

讲义哪里有第二个知识点?满脸问号
1 个答案

小刘_品职助教 · 2020年03月10日

同学你好,

你说的第二个知识点是duration measure?这个在基础班讲义的第176-178页,你可以对久期这个概念在理解的时候更深入一点,参考178页的例题。其实题目中问到的这两个概念的区别就在于,一个是变化的金额,一个是侧重变化率。

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