麻烦详解

问题如下：

Assume bond duration D = K(T-t). If interest rate curve moves are parallel, stochastic with constant volatility, normally distributed, and independent. At what time will the maximum potential exposure be reached?

选项：

A.

T/4

B.

T/3

C.

2 T/3

D.

3 T/4

解释：

B is correct.

考点：Credit exposure

解析：

T/3 是取到最大值，可当做结论记忆。

具体推导过程可以参考 credit risk 强化班 Section 11 第二个视频。