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JoyLi · 2022年06月09日

这种题目应该从哪里着手进行分析

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082404000023

问题如下：

Albert Henri is the fixed income manager of a large Canadian pension fund. The present value of the pension fund’s portfolio of assets is CAD 4 billion while the expected present value of the fund5s liabilities is CAD 5 billion. The respective modified durations are 8.254 and 6.825 years. The fund currently has an actuarial deficit (assets < liabilities) and Albert must avoid widening this gap. There are currently two scenarios for the yield curve: The first scenario is an upward shift of 25bp, with the second scenario a downward shift of 25bp. The most liquid interest rate futures contract has a present value of CAD 68,336 and a duration of 2.1468 years. Analyzing both scenarios separately, what should Albert Henri do to avoid widening the pension fund gap? Choose the best option.

选项：

First Scenario       
Second Scenario

A.

Do nothing
Buy 7,559 contracts

B.

Do nothing
Sell 7,559 contracts.

C.

Buy 7,559 contracts
Do nothing.

D.

Do nothing
Do nothing.

解释：

ANSWER: A

We first have to compute the dollar duration of assets and liabilities, which gives, in millions,4,000×8.254=33,016   and  5,000×6.825=34,125, respectively. Because the DD of liabilities exceeds that of assets, a decrease in rates will increase the liabilities more than the assets, leading to a worsening deficit. Albert needs to buy interest rate futures as an offset. The number of contracts is （34,125-33,016）/(68,336×2.1468/1,000,000) =7,559.

老师您好 这种题干特别长的题目一看就会有畏难心理，而且读了几遍也没太懂要怎么解，这种题有没有什么方法或者角度能进行求解

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品职答疑小助手雍 · 2022年06月09日

同学你好，首先这显然是一道计算哈，明确计算的情况下读了前两行，看到duration那个位置大概就应该能感觉到算的东西应该跟asset和liability的gap有关系了，后面就是把数字对应的条件列出来，看答案要求什么结果了。

这都是基于对知识的熟悉程度的，根据某些题目给出的条件想到对应的知识点很重要。

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NO.PZ2016082404000023 问题如下 Albert Henri is the fixeincome manager of a large Canapension fun The present value of the pension funs portfolio of assets is C4 billion while the expectepresent value of the funs liabilities is C5 billion. The respective mofierations are 8.254 an6.825 years. The funcurrently hactuarificit (assets liabilities) anAlbert must avoiwining this gap. There are currently two scenarios for the yielcurve: The first scenario is upwarshift of 25bp, with the seconscenario a wnwarshift of 25bp. The most liquiinterest rate futures contraha present value of C68,336 ana ration of 2.1468 years. Analyzing both scenarios separately, whshoulAlbert Henri to avoiwining the pension fungap? Choose the best option. First Scenario SeconScenario A. nothingBuy 7,559 contracts B. nothingSell 7,559 contracts. C.Buy 7,559 contracts nothing. nothing nothing. ANSWER: AWe first have to compute the llration of assets anliabilities, whigives, in millions,4,000×8.254=33,016 an 5,000×6.825=34,125, respectively. Because the of liabilities excee thof assets, a crease in rates will increase the liabilities more ththe assets, leang to a worsening ficit. Albert nee to buy interest rate futures offset. The number of contracts is （34,125-33,016）/(68,336×2.1468/1,000,000) =7,559. 还是不理解为什么是第二个scenario 能具体下么

2023-10-27 21:37 1 · 回答

NO.PZ2016082404000023问题如下 Albert Henri is the fixeincome manager of a large Canapension fun The present value of the pension funs portfolio of assets is C4 billion while the expectepresent value of the funs liabilities is C5 billion. The respective mofierations are 8.254 an6.825 years. The funcurrently hactuarificit (assets liabilities) anAlbert must avoiwining this gap. There are currently two scenarios for the yielcurve: The first scenario is upwarshift of 25bp, with the seconscenario a wnwarshift of 25bp. The most liquiinterest rate futures contraha present value of C68,336 ana ration of 2.1468 years. Analyzing both scenarios separately, whshoulAlbert Henri to avoiwining the pension fungap? Choose the best option.First Scenario SeconScenarioA. nothingBuy 7,559 contractsB. nothingSell 7,559 contracts.C.Buy 7,559 contracts nothing. nothing nothing.ANSWER: AWe first have to compute the llration of assets anliabilities, whigives, in millions,4,000×8.254=33,016 an 5,000×6.825=34,125, respectively. Because the of liabilities excee thof assets, a crease in rates will increase the liabilities more ththe assets, leang to a worsening ficit. Albert nee to buy interest rate futures offset. The number of contracts is （34,125-33,016）/(68,336×2.1468/1,000,000) =7,559.请问是哪的知识点。。。

2023-03-02 15:49 2 · 回答

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2023-01-20 09:58 1 · 回答

NO.PZ2016082404000023 你好 场景2的意思是利率下降吗，如果是的话，不应该short contract来对冲吗

2022-02-11 06:21 5 · 回答