NO.PZ2020042003000085
问题如下：
Yield curve shapes have critical
implications for the investment decisions, which of the following is NOT
correct?
选项：
A. the yield curve contains an implicit forecast
of future interest rate changes. Positively sloped yield curves reflect the
average expectation in the market that future short-term interest rates will be
higher than today.
B.
Yield curves provide a clue
about overpriced and underpriced securities.
a security whose yield lies above the curve
represents a tempting sell situation.
In
the long run, yield curves send signals about what stage of the business cycle
the economy presently occupies.
解释：
考点：对Risk Management for Changing Interest
Rates: ALM and Duration Techniques-ALM
的理解
答案：C
解析：
当债券的yield位于Curve之上时，合理的策略应该是买入该债券。因此C选项表述错误。
关于A：
这里感觉说的太绝对了，upslope不一定说明未来的短期利率会上升吧？也有可能只是说大家对远期市场的需求比较高而已，或者是对于远期有更高的流动性补偿要求。如果要说A对的话，应该要说个前提“under XX利率理论之下”才对吧啊？
关于C：
a security whose yield lies above the curve represents a tempting sell situation.这里说实际的收益率比较高，那么真实价格上应该是比较低，也就是说市场的价格是高估了的，所以应该马上卖吧？为什么不是马上卖？
