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speakingcat · 2021年09月22日

选项d

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000086

问题如下：

which of the following statements about risk premiums is NOT correct?

选项：

A.

When the economy goes into a recession, the default-risk premium will increase

B.

A premium for liquidity risk, as some instruments are more difficult to sell quickly at a favorable price.

C.

Higher inflation reduces purchasing power unless a higher inflation-risk premium.

D.

Call risk is a lender has the right to return a loan early, thus reducing the lender’s expected rate of return if market interest rates have fallen.

解释：

考点：对Risk Management for Changing Interest Rates: ALM and Duration Techniques- Interest Rate Risk的理解

答案：D

解析：

选项D的前半句错误，Call risk是Lender面临资金被提前偿还的风险。前半句改为正确的

为：a borrower has the right to pay off a loan early

Borrower提前偿还应该是put risk吧？
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1 个答案

DD仔_品职助教 · 2021年09月22日

嗨，努力学习的PZer你好：


同学你好~

答案没有错喔

call risk指的是投资者买了一个callable bond（赋予债券发行人可以提前赎回债券的权利），投资者所面临的发行人会提前赎回这个bond的风险。

那么在这里投资者是lender，发行人是borrower，borrower 提前赎回也就是提前偿还的意思，call risk就是borrower会提前偿还的风险。


put risk跟上面的思路一样的，只不过是针对putable bond（赋予债券投资者可以提前卖还给发行人的权利），put risk 就是债券发行人（borrower）面临投资者（lender）要求borrower提前还款的风险。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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