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What assumptions does a duration-based hedging scheme make about the way in which interest rates move? A. All interest rates change by the same amount B. A small parallel shift in the yield curve. C. Any parallel shift in the term structure. D. Interest rates movements are highly correlated.

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理解问题What assumptions does a duration-based hedging scheme make about the way in which interest rates move? A. All interest rates change by the same amount B. A small parallel shift in the yield curve. C. Any parallel shift in the term structure. D. Interest rates movements are highly correlated.

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  • B. A small parallel shift in the yield curve.

利率变动假设

  • 平行移动：基于久期的对冲策略假设利率变动是小幅度的平行移动，即所有期限的利率以相同幅度变化。这种假设简化了对冲策略的实施，使其更容易管理。1378
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What assumptions does a duration-based hedging scheme make about the way in which interest rates move? A. All interest rates change by the same amount B. A small parallel shift in the yield curve. C. Any parallel shift in the term structure. D. Interest rates movements are highly correlated.
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What assumptions does a duration-based hedging scheme make about the way in which interest rates move? A. All interest rates change by the same amount B. A small parallel shift in the yield curve. C. Any parallel shift in the term structure. D. Interest rates movements are highly correlated.
利率对冲策略有哪些类型？
利率变动对债券价格有何影响？
如何评估利率风险？
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