Judy
2023-04-28 11:25老師你好,為什么 bear steepening of the curve 條件下,Given that the assets have lower convexity and dispersion than the liabilities, they will underperform; that is, the liabilities would change by a greater amount than the assets. 這里是什么邏輯關(guān)系?謝謝
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
2023-04-28 14:03
該回答已被題主采納
同學,下午好。
1. convexity有個特點是漲多跌少,利率上升時,跌幅小,利率下降時,漲幅大。
2. bear steepening下,收益率曲線上升且變陡峭,債券下跌。
3. 因為liability有更大的convexity,所以跌的要比asset小。asset會under perform。
努力的你請加油喲~。祝同學順利通過考試~。
