137****5861
2024-07-19 00:53百題固收case1的第二題,為什么是答案B。
所屬:CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個回答
Simon助教
2024-07-22 18:06
該回答已被題主采納
同學(xué),上午好。
Statement 2 “We address yield curve risk by using key rate durations. When using this method, we stress the spot rates for all points along the yield curve simultaneously. By changing the spot rates across maturities, we are able to measure a portfolio’s sensitivity to those changes.”
衡量利率風(fēng)險用的是麥考利久期,而且假設(shè)利率是平行移動的,描述2說使用KRD,而且假設(shè)利率曲線平行移動,描述是錯的。如果是KRD,那么是非平行移動。
