CFA一級易錯題:Empirical duration is likely the best measure of the impact

發(fā)布時間：2023-07-21 15:43編輯：融躍教育CFA

Empirical duration is likely the best measure of the impact of yield changes on portfolio value, especially under stressed market conditions, for a portfolio consisting of:

A 100% sovereign bonds of several AAA rated euro area issuers.

B 100% covered bonds of several AAA rated euro area corporate issuers.

C 25% AAA rated sovereign bonds, 25% AAA rated corporate bonds, and 50% high-yield corporate bonds, all from various euro area sovereign and corporate issuers.

(固收 Understanding Fixed-Income Risk and Return)

這是新增知識點(diǎn)，麥考利久期和有效久期等通過公式得出的叫做分析久期analytical duration；而通過債券的歷史數(shù)據(jù)計算得出的叫實(shí)證久期empirical duration，更適用于估計高風(fēng)險高收益?zhèn)木闷冢貏e是在經(jīng)濟(jì)不好時，高收益?zhèn)膶?shí)證久期會小于分析久期，主要是由于基準(zhǔn)利率和利差呈負(fù)相關(guān)關(guān)系，記住結(jié)論即可。

關(guān)鍵詞： CFA一級易錯題 CFA一級模擬題

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