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Lucrecia1004 · 2022年06月14日

老师，解析中这段话该怎么理解？

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000025

问题如下：

Leah informs Molly that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation. Leah expresses concern about the risks associated with an immunization strategy for this obligation. In response, Molly makes the following statements about liability-driven investing:

  • Statement 1: Although the amount and date of SD&R’s liability is known with certainty, measurement errors associated with key parameters relative to interest rate changes may adversely affect the bond portfolios.
  • Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yield curve.
Which of Molly’s statements about liability-driven investing is (are) correct?

选项：

A.

Statement 1 only.

B.

Statement 2 only.

C.

Both Statement 1 and Statement 2.

解释：

Correct Answer: C

C is correct. Molly is correct that measurement error can arise even in immunization strategies for Type 1 cash flows, which have set amounts and set dates. Also, a parallel shift in yield curves is a sufficient but not a necessary condition to achieve the desired outcome. Non-parallel shifts as well as twists in the yield curve can change the cash flow yield on the immunizing portfolio; however, minimizing the dispersion of cash flows in the asset portfolio mitigates this risk. As a result, both statements are correct.

Also, a parallel shift in yield curves is a sufficient but not a necessary condition to achieve the desired outcome. Non-parallel shifts as well as twists in the yield curve can change the cash flow yield on the immunizing portfolio; however, minimizing the dispersion of cash flows in the asset portfolio mitigates this risk. As a result, both statements are correct.

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pzqa015 · 2022年06月17日

嗨，努力学习的PZer你好：


收益率曲线平行移动是免疫成功的充分非必要条件，这是何老师课上讲过的结论。

免疫条件成立时，收益率曲线平行移动，免疫策略一定成功，但收益率曲线非平行移动时，也可能存在△asset value=△liability value，此时，免疫策略也是成功的。收益率曲线非平行移动时，△asset value≠△liability value，也就是免疫失败的风险，是structural risk，我们通过降低组合的convexity来降低structural risk。

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努力的时光都是限量版，加油！

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NO.PZ2018120301000025 问题如下 Leahinforms Molly thC ha single $500 million liability e in nineyears, anshe wants SR to construa bonportfolio thearns a rateof return sufficient to poff the obligation. Leexpresses concern aboutthe risks associatewith immunization strategy for this obligation. Inresponse, Molly makes the following statements about liability-iveninvesting:Statement 1: Although the amount ante of SR’s liability is known with certainty, measurement errors associatewith key parameters relative to interest rate changes maersely affethe bonportfolios.Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yielcurve. Whichof Molly’s statements about liability-iven investing is (are) correct? A.Statement 1 only. B.Statement 2 only. C.Both Statement 1 anStatement 2. CorreAnswer: is correct. Molly is correthmeasurement error carise even in immunization strategies for Type 1 cash flows, whihave set amounts anset tes. Also, a parallel shift in yielcurves is a sufficient but not a necessary contion to achieve the sireoutcome. Non-parallel shifts well twists in the yielcurve cchange the cash flow yielon the immunizing portfolio; however, minimizing the spersion of cash flows in the asset portfolio mitigates this risk. a result, both statements are correct. 然后一般在计算资产的Macaulration时，是对组合内各成份债券的Macaulration进行了简单的加权平均。这种加权平均算出来的数据，并不准确。因为会产生衡量误差（Measurement errors），而该指标又是匹配时需要满足的条件，所以这个误差会影响到匹配的效果。-------上面摘自最新那个问题回答。我的问题是这种计算属于measurement error还是mol risk/error。还是都属于？或者说measurement error和mol risk/error是否有被包含的关系呢？

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