请教3道07年真题

求教3道07年真题，谁有07年每道题的详解啊？谢谢

62题 . (9+1)*10*1.645*1%= $1.645 （handbook p249)

1# yesiami

61題 答案是A
這是negative convexity的基本定義吧
相較於FIX INCOME的POSITIVE CONVEXITY

楼主能否分享哈07的真题？

答案分别是d a c 不知道对不对哦？

我也觉得应该是D、A、C

61- A.  Definition of negative convexity. This is because of the prepayment risk inherent in MBS, which stems from the embedded call options (home owners have a tendency to prepay when rates decreases, preventing the value of MBS to go far above par).

62-A. 10*(1+9)*0.01*1.645

63-D.  Handbook(5th edition) page 101, example 4.8. Short options have long left tails, making their VaR estimation subject to larger errors.