金程問(wèn)答
R18課后題第5題，F(xiàn)eature2是什么意思？
老師，請(qǐng)問(wèn)，在immunize multiple asset 時(shí)侯，為什么不用key rate duration match呢，這樣不就能把curve structure risk （Twist)量化了么。
老師，請(qǐng)問(wèn)書(shū)本225頁(yè)第二十四題答案 Due to covered interest arbi-trage, the relative attractiveness of bonds does not depend on the currency into which they are hedged for comparison. Hence, the ranking of bonds does not depend on the base currency of the portfolio.是什么意思？ . Inter- market trades should be assessed on the basis of returns hedged into a common currency. Doing so ensures that they are comparable. Neither local currency returns nor unhedged returns are comparable across markets because they involve different currency exposures/risks不太理解？ Over horizons most relevant for active bond management, the capital gains/losses arissing from yield movements generally dominate the income component of return (i.e., carry) and rolling down the curve怎么理解？
老師，請(qǐng)問(wèn)書(shū)本220頁(yè)第十一題答案In order to take duration- neutral positions that will profit from an increase in the curvature of the yield curve, Hirji should structure a condor. Allocation to 2- year bond = Money duration of long- term bonds/PVBP of 2- year bond. duraion-neuture不是long+long=short+short，Money duration 2year+long-term=Money duratiion 5-year+ 10-year，為什么這里是Money duration 2-year=Money duration long-term？
老師，請(qǐng)問(wèn)書(shū)本300頁(yè)第十五題答案As correlations increase, the values of the mezza-nine tranches usually increase relative to the values of the senior and equity tranches，課件視頻中說(shuō)subordinated ranches比senior好，那是不是mezzanin比subordinated好？
老師，請(qǐng)問(wèn)課后題第六題不理解？
請(qǐng)問(wèn)2018年上午真題第三題，為什么不考慮operating cost20bp?
請(qǐng)問(wèn)機(jī)構(gòu)IPS的第一個(gè)case的第3題 要求的return目標(biāo)里加了這個(gè)1% 可是這個(gè)不是指負(fù)債占總資產(chǎn)的比例嗎 和增長(zhǎng)率一樣嗎 可以直接和discount rate相加嗎？
SHORTFALL RISK： 均值減去兩個(gè)標(biāo)準(zhǔn)差，為什么是虧損10%？謝謝
這道題的答案寫(xiě)的好多。寫(xiě)了factor還解釋了一下原理。我想問(wèn)一下考試的時(shí)候也需要寫(xiě)那么多嗎？圖3是我寫(xiě)的答案，不知道我寫(xiě)的答案這些夠了嗎？
老師您好，這道題（詳見(jiàn)圖片）提到Endowment的risk ability和risk willingness，我怎么記得視頻上講機(jī)構(gòu)投資者只有risk ability？還是這道題比較舊（2009年），現(xiàn)在已經(jīng)不考慮機(jī)構(gòu)投資者的risk willingness了？謝謝。
老師好，原版書(shū)后題第87頁(yè)，R17 第2題C問(wèn)： 題目前半句問(wèn)什么時(shí)候可以同時(shí)用top down 和 bottom up，答案沒(méi)有給出直接解答。那正確的回答應(yīng)該是什么？
老師您好，這道題（詳見(jiàn)圖片）中提到由預(yù)期通脹的降低推測(cè)出output gap形成。但我筆記中只寫(xiě)了output gap的變化能推導(dǎo)出inflation的變化，反過(guò)來(lái)也成立嗎？ 還是說(shuō)expected inflation降低->經(jīng)濟(jì)衰退或剛復(fù)蘇->a large output gap？可以跳過(guò)對(duì)經(jīng)濟(jì)的預(yù)期而直接得出output gap形成的結(jié)論嗎？謝謝。
Yardeni model計(jì)算出來(lái)的結(jié)果是與什么benchmark來(lái)比較得出結(jié)果的？
原版書(shū)課后題第75頁(yè)reading15，question6C，像這種問(wèn)題可以只回答spending rate嗎？需要寫(xiě)那么詳細(xì)嗎
程寶問(wèn)答
