[{"data":1,"prerenderedAt":-1},["ShallowReactive",2],{"$fmOgTrkSUqQqyJm1psbDsmWU_IOzoW5-hQChYjnDOk3c":3},{"answer":4,"createTime":5,"id":6,"options":7,"origin":12,"question":19,"related":20,"source":30,"type":31},[],"2024-12-30 11:44:13",175134361,[8,9,10,11],"久期越长,债券价格对利率变化越不敏感","久期越短,债券价格对利率变化越敏感","久期越长,债券价格对利率变化越敏感","久期与债券价格对利率的敏感性无关",{"count":13,"courseId":14,"courseImg":15,"courseName":16,"workId":17,"workName":18},19,"c4bc24f2b27a0d231372e6e8c3e50e95","https:\u002F\u002Ftihai-oss-cloud.itihey.com\u002Fimg\u002F7e2d5ad53be3d12aacc56ee37db405b7.jpg","金融风险管理","work_40088175","课堂考试2024","久期是衡量债券价格对利率变化敏感性的指标.以下哪项陈述是正确的",[21,32,41,50,59,68,75,82,85,94],{"answer":22,"createTime":5,"id":23,"options":24,"question":29,"source":30,"type":31},[],175134354,[25,26,27,28],"0.015","0.48","0.55","0.60","历史波动率的标准差计算 已知某资产在过去5天的回报率为: 0.01, 0.02, -0.01, 0.01, -0.02. 计算该资产的历史波动率","v1",0,{"answer":33,"createTime":5,"id":34,"options":35,"question":40,"source":30,"type":31},[],175134355,[36,37,38,39],"价格上涨幅度更小","价格上涨幅度更大","价格不变","凸性不影响价格变动","对于相同久期的两个债券,具有更高凸性的债券在利率下降时会有什么表现",{"answer":42,"createTime":5,"id":43,"options":44,"question":49,"source":30,"type":31},[],175134356,[45,46,47,48],"GARCH模型","EWMA模型","加权移动平均","ARMA模型","下列哪项不属于计算波动率的常用方法",{"answer":51,"createTime":5,"id":52,"options":53,"question":58,"source":30,"type":31},[],175134357,[54,55,56,57],"0.022","0.025","0.03","0.035","GARCH模型的波动率预测 已知某资产的GARCH模型参数为:α₀ = 0.01,α₁ = 0.20,β₁ = 0.70,前期波动率σ²(t-1) = 0.02,回报率r(t) = 0.04.计算当前的波动率σ²(t)",{"answer":60,"createTime":5,"id":61,"options":62,"question":67,"source":30,"type":31},[],175134358,[63,64,65,66],"实际价格下跌幅度更大","实际价格下跌幅度更小","实际价格不变","无法确定","当利率上升时,正凸性债券的价格变动与仅使用久期预测的价格变动相比如何",{"answer":69,"createTime":5,"id":70,"options":71,"question":74,"source":30,"type":31},[],175134359,[72,73],"支持","反对","投资组合经理维持着Beta值为 0.2 的主动管理投资组合.去年,无风险利率为5%,主要股指表现非常糟糕,回报率约为-30%. 投资组合经理的回报率为 -5%,并声称在当时的情况下回报率不错.你支持他的说法么",{"answer":76,"createTime":5,"id":77,"options":78,"question":81,"source":30,"type":31},[],175134360,[55,79,54,80],"0.026375","0.02","GARCH(1,1)模型的波动率计算 已知GARCH(1,1)模型的参数如下:α₀ = 0.01,α₁ = 0.15,β₁ = 0.80,上一期的波动率σ²(t-1) = 0.02,回报率r(t) = 0.05.根据GARCH(1,1)模型,计算当前的波动率σ²(t)",{"answer":83,"createTime":5,"id":6,"options":84,"question":19,"source":30,"type":31},[],[8,9,10,11],{"answer":86,"createTime":5,"id":87,"options":88,"question":93,"source":30,"type":31},[],175134362,[89,90,91,92],"标准差","均值回归","自相关分析","方差分析","以下哪个是历史波动率的计算方法",{"answer":95,"createTime":5,"id":96,"options":97,"question":102,"source":30,"type":31},[],175134363,[98,99,100,101],"波动率溢价","波动率差距","波动率时间差","期权溢价","期权的隐含波动率与实际波动率之间的差异称为"]