题目
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:
选项
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 (i.e., speculative-grade) 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 high-yield 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.C是正确的。对于由不同发行人的各种不同债券组成的组合，经验久期是比分析久期更好的衡量收益率变化对组合价值的影响的最佳度量，尤其是在压力市场条件下。在本组合中，高收益债券的信用价差变化可部分或全部抵消AAA级主权债券的收益率变化，这种情况最好是用经验久期。