duration matching策略所謂的無法完全消除風(fēng)險(xiǎn)，存在一定的殘留，是什么原因？
百題fixed income case9最后一題關(guān)于default correlation的解析沒看懂，煩請解釋一下，謝謝啦
百題第一題為什么不選C，這也能增加30年的duration，減少2年期的duration 啊
An active investor enters a duration-neutral yield curve flattening trade that combines 2-year and 10-year Treasury postions.Under which of the following yield curve scenarios would you expect the investor to realize the greatest porofolio gain?A、Bear flattening B、Bull falttening C、Yield curve inversion
這道題完全沒有聽懂，老師能麻煩再解釋一遍么？
為什么portfolio的duration是Effective duration呢？
這個(gè)公式老師并沒有解釋原理
沖刺筆記上第134頁的例題，step 2：為什么獲得新的基準(zhǔn)利率不能用線性插補(bǔ)法？：（7.96-7)*(1.77%-1.43%)/(9.88-7)+1.53% = 1.64%? 而是要用2個(gè)bond合成？
筆記127頁的2個(gè)圖要怎么解釋？1）左圖：更陡峭的長端是高利率，所以投高利率，借入低利率？怎么匹配lend和borrow呢？2）右圖：為什么更陡峭的長端要receive fixed？怎么匹配receive和pay？fixed和floating？
作為pure indexing的替代方法，mutual fund不是可以隨時(shí)申購贖回(筆記114頁)，那為什么說Case 4: Sonera Endowment Fund中的 ". One advantage of investing in equity mutual funds is that shares can be redeemed at any point during the trading day."是錯(cuò)的
Pure indexing 到底是成本高還是成本低呀？筆記114頁，既說成本低，又說成本高？
LGD*POD就是expected loss。但它為什么等于spread？
Rolldown return請解釋一下
An active fixed - income manager holds a portfolio of commercial and residential mortgage - backed securities that tracks the Bloomberg Barclays US Mortgage - Backed Securities Index .Which of the following choices is the most relevant portfolio statistic for evaluating the first - order change in his portfolio ' s value for a given change in benchmark yield ? A Effective duration B Macaulay duration C Modified duration
An ' analyst manages an active fixed - income fund that is benchmarked to the Bloomberg Barclays US Treasury Index . This index of US government bonds currently has a modified portfolio duration of 7.25 and an average maturity of 8.5 years . The yield curve is upward - sloping and expected to remain unchanged . Which of the following is the least attractive portfolio positioning strategy in a static curve environment ? A、 Purchasing a 10- year zero - coupon bond with a yield of 2% and a price of 82.035 B 、Entering a pay - fixed ,30- year USD interest rate swap C、 Purchasing a 20- year Treasury and financing it in the repo market
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