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重生之我是johnhull · 2022年02月09日

为啥C不对

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000010

问题如下：

Which of the following statements best describes empirical duration?

选项：

A.

A common way to calculate a bond’s empirical duration is to run a regression of its price returns on changes in a benchmark interest rate.

B.

A bond’s empirical duration tends to be larger than its effective duration.

C.

The price sensitivity of high-yield bonds to interest rate changes is typically higher than that of investment-grade bonds

解释：

A is correct. A bond’s empirical duration is often estimated by running a regression of its price returns on changes in a benchmark interest rate.

虽然讲义上有个结论是Yb和spread 会抵消，但是何老师不是还有句话叫作差生更容易受到环境的影响吗？因此你可以把HYB看作是差生，那么不还是他受影响大嘛

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Jeff Yang · 2022年02月09日

同学您好 这道题考察的是关于empirical duration的定义。C选项虽然本身正确不过与题意无关联。empirical duration是用统计回归的方法估算出来的所以A选项正确

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pzqa015 · 2022年02月10日

嗨，爱思考的PZer你好：


差生更容易受到环境的影响没错，这里套用到HYB上，是指HYB的spread更易受到环境影响，由于yb与spread变动方向相反，同时HYB的spread变动更大，那么根据yc=yb+spread，环境变化时，HYB的yc变化更小（因为spread变化大，更大程度上抵消yb的变化，导致轧差值yc的变化小），由于yc变化小，所以HYB的price sensitivity是小于IG的，故C错了。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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