题目
For purposes of computing the market risk of a US Treasury Bond portfolio, it is easiest to measure:
选项
A.Yield volatility because yields have positive skewness.
B.Price volatility because bond prices are positively correlated.
C.Yield volatility for bonds sold at a discount and price volatility for bonds sold at a premium to par.
D.Yield volatility because it remains more constant over time than price volatility, which must approach zero as the bond approaches maturity.
答案
D
解析
Because prices must converge to the bond's maturity value, the volatility of yields provides a more accurate risk assessment.由于价格必须收敛到债券的到期价值，因此收益率的波动性可以提供更准确的风险评估。