[心得] FRM問題－你問我答（十二之二）

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問題二：Example 11- 6 : FRM Exam 2000- Question 96 Which one of the following statements about the historical U.S. Treasury yield curve changes is true ? a ) Changes in long-term yields tend to be larger than changes in short- term yields. b ) Changes in long-term yields tend to be of approximately the same size as changes in short-term yields. c ) The same size yield change in both long-term and short-term rates tends to produce a larger price change in short-term instruments when all securities are trading near par. d ) The largest part of total return variability of spot rates is due to parallel changes, with a smaller portion due to slope changes and the residual due to curvature changes. 不懂為何短期利率的變動為大於長期的?? 答覆：英文解答： d ) Most of the movements in yields can be explained by a single-factor model, or parallel moves. Once this effect is taken into account, short- term yields move more than long-term yields , so a ) and b ) are wrong. 這個題目是在問，美國公債歷史殖利率曲線變動在下列四個陳述中何者為真？若要解答這個問題，要先了解在歷史殖利率曲線的變動中主要有三個因子：第一個因子是平行移動，第二個因子是斜率變動，第三個因子是凸性變動。而從實證研究發現殖利率曲線的變動中，有94%可由平行移動因子所解釋，而有4%可由斜率變動因子所解釋，而剩下的變動有時可由凸性變動因子所解釋。答案a）是說長期殖利率的變動大於短期殖利率。顯然與事實顛倒，因此，不對。答案b）是說長期殖利率的變動與短期殖利率的變動幾乎相同。顯然與事實不符，因此，不對。答案c）是說當所有證券是以接近面額在交易時，長期與短期利率的相同殖利率變動，會產生短期證券的較大價格變動。顯然也與事實顛倒，因此，不對。答案d）大部分的即期利率總報酬率波動可歸因於平行變動，而較小的部分可歸因於斜率變動及剩下的變動可歸因於凸性變動。此與實證結果相符，因此，答案為（d）。 -- CFA證照考試心得分享:http://www.wretch.cc/blog/vactorlee -- ※ 發信站: 批踢踢實業坊(ptt.cc) ◆ From: 118.160.171.119