TTER
2024-01-20 15:03For large non-parallel changes in interest rates, a convexity adjustment is used to improve the accuracy of the index’s estimated price change. 這里錯在convexity adjustment 應(yīng)該是改為key rate duration來衡量（非平行移動）對嗎？
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
梁雪助教
2024-01-20 23:49
該回答已被題主采納
同學(xué)你好，你的理解是對的。key rate duration是衡量yield curve "shaping risk"。
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追問
但把non-parallel 改成parallel的話 ，這個說法就對了是不？-- For large parallel changes in interest rates, a convexity adjustment is used to improve the accuracy of the index’s estimated price change.
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追答
同學(xué)你好，可以這么理解。
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