NO.PZ2018091701000077
问题如下:
Smith has a bond portfolio which consists two zero-coupon bonds. Bond 1 has a duration of 3.5 year, and the market value is $47.5 million. Bond 2 has a duration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must be within 45%-55%. It is expected that the yield curve will parallel shift 20bp upward. To reduce the interest rate risk, Smith should:
选项: Buy $7.5
million Bond 2 and invest $7.5 million in Bond 1
Sell $7.5 million Bond 2 and invest $7.5 million in Bond 1
C.Sell $2.5 million Bond 1 and invest $2.5 million in Bond 2
解释:
B is correct.
考点:fixed-income exposure measures。
解析 : Duration是衡量利率风险的指标 。 为了降低利率风险 , 也就是减小Duration , Smith应该卖掉Duration大的债券 , 购买Duration小的债券 。 具体的金额不超过资产比重在45%-55%之间的这个范围限制 。 所以Bond 2的卖出上限是52.5-45=7.5 million , 同时购买相同金额的Bond 1 。
是不是方向弄错了?