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金融民工阿聪 · 2022年07月25日

关于convexity

NO.PZ2018120301000016

问题如下:


Based on Exhibit 2, relative to Portfolio C, Portfolio B:

选项:

A.

has higher cash flow reinvestment risk.

B.

is a more desirable portfolio for liquidity management.

C.

provides less protection from yield curve shifts and twists.

解释:

Correct Answer: B

B is correct. Portfolio B is a laddered portfolio with maturities spread more or less evenly over the yield curve. A desirable aspect of a laddered portfolio is liquidity management. Because there is always a bond close to redemption, the soon-to-mature bond can provide emergency liquidity needs. Barbell portfolios, such as Portfolio C, have maturities only at the short-term and long-term ends and thus are much less desirable for liquidity management.

这里说B对于非平行移动也就是structure risk的protection更好。 但是convexity不是描述消除structure risk的指标吗,这里C的convexity更大,为什么不代表他在非平行移动的时候保护性更好,也就是structure risk lower?

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:


这里并不是比较convexity,二是根据A是bullet portfolio,B是laddered portfolio,C是barbell portfolio,比较Mac duration相近的情况下,三个Portfolio的表现。

laddered portfolio可以更好的进行流动性管理,这是laddered的优点。同时,laddered portfolio会protect against yield curve shift and twist,yield curve shift and twist是指收益率曲线的非平行移动,由于laddered portfolio现金流分散更均匀,所以不同时间点收益率变动不同带来的reinvestment risk更有可能相互抵消,所以,在面对收益率曲线非平行移动时,laddered portfolio可以提供更好的protectation,这是原版书的结论。


是convexity越小,structural risk越小,而不是convexity越大,structural risk越小。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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