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金融民工阿聪 · 2022年07月25日

关于convexity of assets

NO.PZ2018120301000015

问题如下:

The second project for Serena is to help Trey immunize a $20 million portfolio of liabilities. The liabilities range from 3.00 years to 8.50 years with a Macaulay duration of 5.34 years, cash flow yield of 3.25%, portfolio convexity of 33.05, and basis point value (BPV) of $10,505. Serena suggested employing a duration-matching strategy using one of the three AAA rated bond portfolios presented in Exhibit 2.


Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?

选项:

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释:

Correct Answer: A

A is correct. The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.

convexity of assets如果比convexity of liability大很多,也没关系吗。大很多的话会导致什么后果?还是说大越多,structure risk就消除得更干净?

1 个答案
已采纳答案

pzqa015 · 2022年07月25日

嗨,努力学习的PZer你好:


我们要从比负债convexity大的portfolio中,选一个convexity最小的portfolio,并不是说convexity越大越好,convexity越大,则一旦收益率曲线发生非平行移动,免疫失败的可能性就更大,是convexity越小,structural risk消除的越干净。

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