朱同学2023-11-03 22:29:03
朱同学An active fixed - income manager holds a portfolio of commercial and residential mortgage - backed securities that tracks the Bloomberg Barclays US Mortgage - Backed Securities Index .Which of the following choices is the most relevant portfolio statistic for evaluating the first - order change in his portfolio ' s value for a given change in benchmark yield ? A Effective duration B Macaulay duration C Modified duration
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Simon2023-11-04 11:26:57
Simon同学，上午好。
因为有 mortgage - backed securities，MBS类似含权债，对方可以提前还贷，在利率下降时，提前还贷，再重新在市场上按更低的利率借钱，相当于callable bond，利率下降公司赎回。所以要用effective duration。
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