[一级金融市场与产品] 老师这里那个把现金换成债券的时候，为什么现金的久期是0.25呀？

2019-10-13 17:12:511回答

[一级金融市场与产品] 老师，这道题我没看明白，可以讲一下吗

2019-10-13 16:43:401回答

[一级金融市场与产品] 老师，这道题计算用的有些数题里没有啊，那是哪儿来的呢

2019-10-13 16:32:132回答

[一级金融市场与产品] 老师，这道题不太懂，能讲一下吗

55 A bond portfolio consists of bonds with various maturities. The portfolio manager expects the yield curve to become steeper. In that case which of the following statements is correct?    （     ） A. A strip hedge will be a more effective hedge than a stack hedge. B. A stack hedge will be a more effective hedge than a strip hedge.    C. A cross-hedge will be more effective than an immunization hedge. D. An immunization hedge will be more effective than a cross-hedge. Answer: A A stack hedge is less effective than a strip hedge if the yield curve undergoes any other move than a parallel shift.

2019-10-13 16:07:001回答

[一级金融市场与产品] 老师，这句话为什么是对的啊

A strip hedge tends to have wider bid-ask spreads as compared to a stack & roll hedge.

2019-10-13 15:59:341回答

[一级金融市场与产品] 老师tailed hedge 是什么意思，这道题可以解释一下吗

In a FRA and/or interest rate swap portfolio which uses interest rate futures to hedge the interest rate risk a tailed hedge means: A. Adding a FRA to make up the difference between the futures hedge to the nearest contract and the required hedge. This is most important for futures with large contract sizes. B. To shorten the duration of the portfolio. C. To hedge negative convexity in the portfolio. D. To allow for the interest received or paid on financing the margin on the futures contracts i.e. allowing for the difference between futures and FRAs. Answer: D Because the futures contracts are marked to market with daily cash flows the value of these cash flows is included in determining the hedge ratio.

2019-10-13 13:44:101回答

[一级金融市场与产品] 老师这个求NA的公式我看不太懂，题目给的数字太多了，这种题目有什么技巧呢

2019-10-13 11:51:101回答

[一级估值与风险模型] 老师这道题long position，delta为正，那不应该short 股票才能达到delta neutral吗

2019-10-13 09:13:191回答

[一级金融市场与产品] 老师这题我没太懂，为什么CCP的逆向选择风险会被高估呢？

2019-10-12 20:02:351回答

[二级信用风险] 这道题怎么做呢~

2019-10-12 19:41:461回答