金程問(wèn)答
put option和call option的convexity ，dutation是相反的嗎
第三問(wèn)，提問(wèn)并沒(méi)有說(shuō)要達(dá)到duration neutral，為啥不能默認(rèn)本金都是10m
第二題為什么選portfolioZ不選X呢。X的duration更匹配而且convexity更小
密卷下，第3題，老師，您好，怎么看出來(lái)是資產(chǎn)和負(fù)債的大小呀，看不出來(lái)，判斷不了應(yīng)該under還是over，謝謝啦。
Var的計(jì)算，△y需不需要乘以YTM
第五題 ，Expected credit losses能解釋一下嗎？是指什么原因或來(lái)源導(dǎo)致的？書(shū)上寫(xiě)的公式構(gòu)成里沒(méi)有這一項(xiàng)啊
最后一問(wèn)答案是從價(jià)格角度講解的，要是我從duration角度回答，即put option on bond futures 降低Duration，這么寫(xiě)可以嗎？
請(qǐng)問(wèn)怎么理解Tom老師在這里說(shuō)的：每一期的z-spread都不一樣？
第二題這種是四舍五入嘛？還是超過(guò)整數(shù)進(jìn)下一個(gè)？
老師，講一下34題答案ABC的意思。我覺(jué)得答案沒(méi)講人話(huà)
請(qǐng)問(wèn)為什么TRS 可以減小tracking error 當(dāng)index appreciation 的時(shí)候？index不是浮動(dòng)端的嗎？謝謝
老師，您好，DTS適合low rated bond不適合high yield bond嗎？以下是題目B和C是啥意思呀，謝謝啦Q. Which of the following regarding the shape of the credit spread curve for high-yield issuers is most accurate?A.High-yield credit spread curves change shape more over the cycle than investment-grade ones do and usually invert during the peak phase.B.Investors should exercise caution in interpreting credit spread curve shape for distressed debt issuers because their bonds tend to trade on a price rather than credit spread basis as the likelihood of default increases.C.High-yield credit spread curves often invert because of the empirical observation that DTS is the best way to measure high-yield bond price changes.
B問(wèn)為什么不選portfolio A?老師不是說(shuō)先看一階的Duration 嗎？像這種送分題給出了modified duration, BPV，convexity，到底以哪個(gè)為準(zhǔn)？老師，你搞個(gè)先后順序吧
expected excess return 是含spread0，expected excess spread不含spread0.對(duì)嗎？
什么情況下LGD*POD要按時(shí)間調(diào)整，可以舉例嗎？
程寶問(wèn)答
