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- 约9.65千字
- 约 5页
- 2025-06-21 发布于北京
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QuestionsDay3
1.Discusstherelationshipweenconvexityandduration.Considertwobonds
withthesameduration.Isthebondwithmoreconvexitymoreorlessdesirable
thanthebondwithlessconvexity?Why?“Abankmayseektoattaingreater
convexityinitsassetsthaninitsliabilities.”Explain.
2.Whatarethedifferencesweenamicrohedgeandamacrohedgefora
bank?Whyisitgenerallymoreefficientforbankstoemployamacrohedge
thana
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