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标题: 一级练习题,高手看看两个问题的答案矛盾不矛盾? [打印本页]

作者: hysun83617    时间: 2009-2-17 14:40     标题: 一级练习题,高手看看两个问题的答案矛盾不矛盾?

 

Question 1:Tanig Panosian and Hovig Chorbadjian, Level 1 CFA candidates, are studying the various methods used to measure yield curve risk. Panosian makes the following statements. Which one does Chorbadjian tell him is FALSE?

 

A.

There is no single measure of duration for a portfolio that can be used to estimate the overall price impact of differing yield changes.

 

 

B.

If the yield curve is flat, the effective duration formula will be less of an approximation.

 

 

C.

Calculating the durations for only the key maturities is known as key rate duration.

 

 

D.

Calculating rate duration is less involved than calculating key rate duration.

 

 

answer

Calculating rate duration is more involved than calculating key rate duration because rate duration calculates duration for all rates in the term structure, with only one of the rates changing at a time. The other choices are correct.

 

Question 2:

Which of the following statements regarding yield curve risk is FALSE? Yield curve risk:

 

A.

means that bond and duration calculations are approximate rather than exact.

 

 

B.

makes it impossible to determine the impact of yield changes on portfolio/bond values.

 

 

C.

means that different bonds are affected to a different extent by interest rate changes.

 

 

D.

means that no single measure of duration can be used to estimate the overall price impact of different yield changes.

 

 

 

answer: D

Even though yield curve risk complicates the analysis of the impact of yield changes on portfolio/bond values, analysis is possible. One method used is key rate duration.

一级练习题,高手看看两个问题的答案矛盾不矛盾?也就是说这句话“There is no single measure of duration for a portfolio that can be used to estimate the overall price impact of differing yield changes. ”到底对不对?谢谢






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