北同學(xué)
2026-01-08 08:42這道題的BPV是怎么得到的?
The corporate debt liabilities have:= A market value of $450,125,203 A modified duration of 6.51 A liability portfolio basis point value (BPV) of $325,440 The asset portfolio has: A market value of $452,840,231 A modified duration of 6.68 An asset portfolio BPV of $336,007
所屬:CFA Level III > Portfolio Management Pathway 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2026-01-12 16:53
該回答已被題主采納
因?yàn)榭赡躳ortfolio里有含權(quán)資產(chǎn),所以導(dǎo)致和用公式BPV=P*修正久期*0.0001,算出來的不一致。
