CFA一級固定收益真題解析portfolio value,empirical duration

發布時間：2025-07-04 14:40編輯：融躍教育CFA

CFA一級固定收益真題解析

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.

答案：C

解析：C is correct. Empirical duration is the best measure—better than analytical duration—of the impact of yield changes on portfolio value, especially under stressed market conditions, for a portfolio consisting of a variety of different bonds from different issuers, such as the portfolio described in Answer C. In this portfolio, credit spread changes on the highyield bonds may partly or fully offset yield changes on the AAA rated sovereign bonds and spread changes on the AAA rated corporate bonds; this interaction is best captured using empirical duration. The portfolios described in Answers A and B consist of the same types of bonds from similar issuers—sovereign bonds from similar-rated sovereign issuers (A) and covered bonds from similar-rated corporate issuers (B)—so empirical and analytical durations should be roughly similar in each of these portfolios.

關聯考點：Empirical duration

易錯點分析：

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據計算得出的叫實證久期Empirical Duration，更適用于估計高風險高收益債券的久期，特別是在經濟不好時，高收益債券的實證久期會小于分析久期，主要是由于基準利率和利差呈負相關關系，記住結論即可。