开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

开泰-王飞 · 2021年08月09日

利率曲线向上平移,不是短期利率变化小于长期利率变化吗?应该是长期债券价格下降的大于短期价格,为何低卖高买?

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:

A.

Buy $7.5 million Bond 2 and invest $7.5 million in Bond 1

B.

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?

2 个答案

星星_品职助教 · 2022年07月11日

@huangme7

价格下降的多的是duration更大的债券,bond 2的duration更大。

星星_品职助教 · 2021年08月09日

同学你好,

利率上涨这件事情还没有发生(... will parallel shift 20bp upward),如果发生后才是“长期债券价格下降的大于短期价格”。

所以现在为了避免未来利率上升的损失,需要尽量多的卖出duration大的债券(未来价格会下降的多),买入duration小的债券。也就是卖Bond 2(D=12),买Bond 1(D=3.5)


huangme7 · 2022年07月11日

为什么 长期相较短期价格下降得更多?

  • 2

    回答
  • 1

    关注
  • 580

    浏览
相关问题

NO.PZ2018091701000077 问题如下 Smith ha bonportfolio whiconsists two zero-coupon bon. Bon1 ha ration of 3.5 year, anthe market value is $47.5 million. Bon2 ha ration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must within 45%-55%. He must remain fully investeall times. It is expecteththe yielcurve will parallel shift 20upwar To rethe interest rate risk, Smith shoul Buy $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct.考点fixeincome exposure measures。解析 ration是衡量利率风险的指标 。 为了降低利率风险 , 也就是减小ration , Smith应该卖掉ration大的债券 , 购买ration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Bon2的卖出上限是52.5-45=7.5 million , 同时购买相同金额的Bon1 。 ?

2023-12-18 22:59 1 · 回答

NO.PZ2018091701000077问题如下 Smith ha bonportfolio whiconsists two zero-coupon bon. Bon1 ha ration of 3.5 year, anthe market value is $47.5 million. Bon2 ha ration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must within 45%-55%. He must remain fully investeall times. It is expecteththe yielcurve will parallel shift 20upwar To rethe interest rate risk, Smith shoul Buy $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct.考点fixeincome exposure measures。解析 ration是衡量利率风险的指标 。 为了降低利率风险 , 也就是减小ration , Smith应该卖掉ration大的债券 , 购买ration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Bon2的卖出上限是52.5-45=7.5 million , 同时购买相同金额的Bon1 。 卖出上限为什么是那两个值相减?

2023-10-17 20:29 1 · 回答

NO.PZ2018091701000077问题如下 Smith ha bonportfolio whiconsists two zero-coupon bon. Bon1 ha ration of 3.5 year, anthe market value is $47.5 million. Bon2 ha ration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must within 45%-55%. It is expecteththe yielcurve will parallel shift 20upwar To rethe interest rate risk, Smith shoul Buy $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct.考点fixeincome exposure measures。解析 ration是衡量利率风险的指标 。 为了降低利率风险 , 也就是减小ration , Smith应该卖掉ration大的债券 , 购买ration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Bon2的卖出上限是52.5-45=7.5 million , 同时购买相同金额的Bon1 。 为什么利率上升时,要减少ration大的债券的比重?这道题目是什么意思

2023-04-19 10:16 1 · 回答

NO.PZ2018091701000077 问题如下 Smith ha bonportfolio whiconsists two zero-coupon bon. Bon1 ha ration of 3.5 year, anthe market value is $47.5 million. Bon2 ha ration of 12 year, the market value is $52.5 million. The range of portfolio asset weights must within 45%-55%. It is expecteththe yielcurve will parallel shift 20upwar To rethe interest rate risk, Smith shoul Buy $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct.考点fixeincome exposure measures。解析 ration是衡量利率风险的指标 。 为了降低利率风险 , 也就是减小ration , Smith应该卖掉ration大的债券 , 购买ration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Bon2的卖出上限是52.5-45=7.5 million , 同时购买相同金额的Bon1 。 因为range是45-55,那么BON最多不是可以都卖掉吗,假设有52.5,全卖掉也在range范围内,为什么减掉45,这代表什么含义呢,麻烦老师详细一下谢谢

2023-04-09 09:09 1 · 回答

Sell $7.5 million Bon2 aninvest $7.5 million in Bon1 Sell $2.5 million Bon1 aninvest $2.5 million in Bon2 B is correct. 考点fixeincome exposure measures。 解析 ration是衡量利率风险的指标 。 为了降低利率风险 , 也就是减小ration , Smith应该卖掉ration大的债券 , 购买ration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Bon2的卖出上限是52.5-45=7.5 million , 同时购买相同金额的Bon1 。 这个7.5计算,我完全没明白…………45%不是一个权重吗?为什么直接减

2022-06-24 20:02 2 · 回答