题目
Which of the following assumptions are made when using DV01 as a measure of interest rate risk? I. Changes in the interest rates are small. II. The yield curve is flat. III. Changes to the yield curve are parallel. IV. The yield curve is downward sloping.
选项
A.I and III
B.I and II
C.I and IV
D.II and III
答案
A
解析
DV01 may not be a reliable measure when interest rates changes are not small. Also, when applying DV01 we assume that the yield curve shifts are parallel.当利率变化不小时，DV01可能不是一个可靠的衡量指标。同样，当应用DV01时，我们假设收益率曲线平移是平行的。