139****6784
2024-01-19 19:49這道題想說啥沒懂
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(gè)回答
Simon助教
2024-01-21 13:14
該回答已被題主采納
同學(xué)，上午好。這道題想考察的點(diǎn)是234類負(fù)債使用effective duration進(jìn)行衡量。
Shrewsbury說234類負(fù)債使用Effective duration，Shrewsbury說的是正確的，所以AC不選。B是錯(cuò)的，選B。
而Silver tells Shrewsbury, “... ... Clients with liability types such as those listed in Exhibit 1 use yield statistics, such as macaulay, modified duration, money durations, and the present value of a basis point (PVBP), when implementing immunization strategies.” 這段話是指：Sliver說1234類（such as those listed in Exhibit 1）用的都是macaulay, modified duration, money durations，PVBP這些。但是只有Type 1可以用macaulay, modified duration,money duration，PVBP。234類負(fù)債要使用effective duration。所以sliver說的是錯(cuò)的。
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