老師，您好，密卷下第三個(gè)case 第2小題，“The 2s–30s spread is expected to widen by 100 bps as short”和“ The 2s–30s spread is expected to narrow by 100 bps as short ”這兩句話是啥意思，波動率高，barebell 的structural 風(fēng)險(xiǎn)不應(yīng)該更大嗎，為啥這個(gè)題，還更好了呢，謝謝啦？
請問老師有沒有key rate duraion計(jì)算的相關(guān)題目，想做一下，但找不到
put option和call option的convexity ，dutation是相反的嗎
第三問，提問并沒有說要達(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，怎么看出來是資產(chǎn)和負(fù)債的大小呀，看不出來，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？是指什么原因或來源導(dǎo)致的？書上寫的公式構(gòu)成里沒有這一項(xiàng)啊
最后一問答案是從價(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，這么寫可以嗎？
請問怎么理解Tom老師在這里說的：每一期的z-spread都不一樣？
第二題這種是四舍五入嘛？還是超過整數(shù)進(jìn)下一個(gè)？
老師，講一下34題答案ABC的意思。我覺得答案沒講人話
請問為什么TRS 可以減小tracking error 當(dāng)index appreciation 的時(shí)候？index不是浮動端的嗎？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問為什么不選portfolio A?老師不是說先看一階的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
程寶問答
金程問答