柚柚_柚 · 2020年06月07日
问题如下：
Suppose a portfolio has an exposure of +50 to a one-basis-point increase in the five-year Treasury rate in Table13.1, an exposure of −100 to a one-basis-point increase in the ten-year Treasury rate in Table 13.1, and no other exposures. What is the portfolio’s exposure to the first two factors in Table 13.1? 
解释：
The exposure to one unit of the first factor is
50 × (−0.410) − 100 × (−0.414) = 20.9
The exposure to one unit of the second factor is
50 × 0.203 − 100 ×
(−0.193) = 29.45
小刘_品职助教 · 2020年06月08日
同学你好，
这题题目可以理解成一个组合有两个头寸构成，一个是long 50个 5年债券，另一个是short 100个10年债券，题目中表的意思就是不同的债券对于不同的风险因子的价格变动，需要问的是这个组合对于前两个风险因子的暴露：
那就首先找到5年债券和10年债券分别对于factor 1和 2的风险暴露是多少，5年对风险因子1是-0.410 ，风险因子2是0.203；10年对风险因子1是-0.414 ，风险因子2是-0.193
然后接下来就直接对应的计算就好
风险因子1 是 50 × (−0.410) − 100 × (−0.414) = 20.9
风险因子2是 50 × 0.203 − 100 × (−0.193) = 29.45
一只🐶哆啦 · 2024年10月11日
想问一下，为啥组合的这个中间用减号链接而不是加号？ 比如：风险因子1 是 50 × (−0.410) − 100 × (−0.414) = 20.9 风险因子2是 50 × 0.203 − 100 × (−0.193) = 29.45 这两个数字100前都是用的减号
NO.PZ2020011303000236问题如下Suppose a portfolio hexposure of +50 to a one-basis-point increase in the five-yeTreasury rate in Table13.1, exposure of −100 to a one-basis-point increase in the ten-yeTreasury rate in Table 13.1, anno other exposures. Whis the portfolio’s exposure to the first two factors in Table 13.1? The exposure to one unit of the first factor is50 × (−0.410) − 100 × (−0.414) = 20.9The exposure to one unit of the seconfactor is50 × 0.203 − 100 ×(−0.193) = 29.45 题目问假设有一个组合，当5年的treasury利率上升1bp时，exposure变成+50；10年的treasury利率上升1bp时，exposure变成-100。没有其他的exposure，根据图中前两个factor，求组合的exposure。factor 150 × (−0.410) − 100 × (−0.414) = 20.9factor 250 × 0.203 − 100 × (−0.193) = 29.45 老师好，5年期债券，利率上升一个bp，敞口增加50，利率减少0.41%时，0.41%是41个bp，敞口不是应该减少41*50=2050吗？没看懂为什么是20.5？
NO.PZ2020011303000236问题如下Suppose a portfolio hexposure of +50 to a one-basis-point increase in the five-yeTreasury rate in Table13.1, exposure of −100 to a one-basis-point increase in the ten-yeTreasury rate in Table 13.1, anno other exposures. Whis the portfolio’s exposure to the first two factors in Table 13.1? The exposure to one unit of the first factor is50 × (−0.410) − 100 × (−0.414) = 20.9The exposure to one unit of the seconfactor is50 × 0.203 − 100 ×(−0.193) = 29.45 题目问假设有一个组合，当5年的treasury利率上升1bp时，exposure变成+50；10年的treasury利率上升1bp时，exposure变成-100。没有其他的exposure，根据图中前两个factor，求组合的exposure。factor 150 × (−0.410) − 100 × (−0.414) = 20.9factor 250 × 0.203 − 100 × (−0.193) = 29.45 求出的结果代表什么意思？有什么经济学含义？这两个数字接下来怎么使用？谢谢
NO.PZ2020011303000236问题如下Suppose a portfolio hexposure of +50 to a one-basis-point increase in the five-yeTreasury rate in Table13.1, exposure of −100 to a one-basis-point increase in the ten-yeTreasury rate in Table 13.1, anno other exposures. Whis the portfolio’s exposure to the first two factors in Table 13.1? The exposure to one unit of the first factor is50 × (−0.410) − 100 × (−0.414) = 20.9The exposure to one unit of the seconfactor is50 × 0.203 − 100 ×(−0.193) = 29.45 为什么这道题问的是对factor的影响？老师课上讲的是对利率的影响。所以如果是对factor的影响，那就是factor对应的给出的期限和factor相乘再相加？那如果改变问法，对5年期利率的影响是不是50 × (−0.410)+50 × 0.203 对10年期利率的影响是− 100 × (−0.414) − 100 × (−0.193) = 29.45
