岳同学2020-06-10 17:57:24
岳同学請問在百題中fixed income case4 Q2，老師解釋 “The longer the duration, the greater the total return potential because rates are low now and the yield curve is so deep.” 這句話錯了，因為應該是Duration 越長 market risk 越大，而不是越低 但是問題中 只說rates are low 沒說 risks are low。 謝謝
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Chris Lan2020-06-10 20:18:26
Chris Lan同学你好
久期大只能说明对利率变化的敏感程度高，现在本身利率低不能说明回报就会大。只有现在利率变低了，才会因为久期大，债券价格上涨更多。如果利率上涨，久期大反而有损失。
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老師在講解 “because rates are low”這段話的時候說the longer the duration ，risk應該是較高，但是在題目中沒說到market risk is low而是說rates are low。是想知道老師怎麼從這段文字得出題目是想說market risk is low?
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同学你好
我去听了一下老师的讲解。久期大，对利率敏感性高，所以利率敞口大，利率风险大。老师说风险低是不对的。因为风险是高的。但他没说市场风险低。利率风险和市场风险不是一回事情。
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那請問他說的風險是甚麼呢?
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除了前面提到的 market value risk之外，題目就沒再提到risk，而且 rates are low是一個對於 Yield curve的描述，不是對於風險的描述。
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同学你好
就the longer the duration这句话来说，风险是指利率风险。利率低不是风险，但久期大是风险。
Market value risk should be similar for the portfolio and the benchmark. 这里的市场价格应该就是债券价格的意思，所以这种风险就是指利率风险。
他这里一共说了三句话
Market value risk should be similar for the portfolio and the benchmark. The longer the duration, the greater the total return potential because rates are low now and the yield curve is so steep.
Income risk is important for comparable assured income streams, which can be more stable and dependable in a portfolio with long maturities.
The average credit risk in the benchmark should be measured against the investor's overall portfolio and satisfy credit quality constraints in the policy statement."
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