FRM 2000 第74题请分析

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FRM 2000 第74题请分析

In a market crash, fixed-income portfolios hedged with short Treasury bonds and futures lose less than those hedged with interest rate swaps given equivalent durations.

根据答案，以上陈述是错误的。

请各位大侠讲讲market crash的时候，fixed-income portfolios , Treasury bonds and futures , interest rate swaps 都是如何变化的呢？

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关键词：FRM fixed-income Portfolios equivalent Portfolio FRM

这跟FLIGHT TO QUALITY有关吧，In a market crash, treasury bonds and futures will worth even more, which causes loss to short position.  while the interest rate swaps will worth less and bring gains. therefore, In a market crash, fixed-income portfolios hedged with short Treasury bonds and futures lose more than those hedged with interest rate swaps given equivalent durations. 请高手指点

2# zhanqiangan



"treasury bonds and futures will worth even more" 我可以理解，

"the interest rate swaps will worth less and bring gains" 我还不是很理解。

盼解释

我觉得这题说treasury bonds and futures 和the interest rate swaps 久期相同，那应该影响是一样的，不同的地方是不是在于两者的凸性不同，从而导致价格变化不一致。这也应证了题目中说的CRASH的环境。