CFA一级固定收益真题解析portfolio value,empirical duration

发布时间：2025-07-04 14:40编辑：融跃教育CFA

CFA一级固定收益真题解析

Empirical duration is likely the best measure of the impact of yield changes on portfolio value,especially under stressed market conditions, for a portfolio consisting of:

A. 100% sovereign bonds of several AAA rated euro area issuers.

B. 100% covered bonds of several AAA rated euro area corporate issuers.

C. 25% AAA rated sovereign bonds, 25% AAA rated corporate bonds, and 50% high-yield corporate bonds, all from various euro area sovereign and corporate issuers.

答案：C

解析：C is correct. Empirical duration is the best measure—better than analytical duration—of the impact of yield changes on portfolio value, especially under stressed market conditions, for a portfolio consisting of a variety of different bonds from different issuers, such as the portfolio described in Answer C. In this portfolio, credit spread changes on the highyield bonds may partly or fully offset yield changes on the AAA rated sovereign bonds and spread changes on the AAA rated corporate bonds; this interaction is best captured using empirical duration. The portfolios described in Answers A and B consist of the same types of bonds from similar issuers—sovereign bonds from similar-rated sovereign issuers (A) and covered bonds from similar-rated corporate issuers (B)—so empirical and analytical durations should be roughly similar in each of these portfolios.

关联考点：Empirical duration

易错点分析：

麦考利久期和有效久期等通过公式得出的叫做分析久期Analytical Duration；而通过债券的历史数据计算得出的叫实证久期Empirical Duration，更适用于估计高风险高收益债券的久期，特别是在经济不好时，高收益债券的实证久期会小于分析久期，主要是由于基准利率和利差呈负相关关系，记住结论即可。