朱同學(xué)
2023-11-03 22:29An active fixed - income manager holds a portfolio of commercial and residential mortgage - backed securities that tracks the Bloomberg Barclays US Mortgage - Backed Securities Index .Which of the following choices is the most relevant portfolio statistic for evaluating the first - order change in his portfolio ' s value for a given change in benchmark yield ? A Effective duration B Macaulay duration C Modified duration
所屬:CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來(lái)源: 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2023-11-04 11:26
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同學(xué),上午好。
因?yàn)橛?mortgage - backed securities,MBS類似含權(quán)債,對(duì)方可以提前還貸,在利率下降時(shí),提前還貸,再重新在市場(chǎng)上按更低的利率借錢(qián),相當(dāng)于callable bond,利率下降公司贖回。所以要用effective duration。
