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moon · 2022年07月26日

这道题考的偏嘛?

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NO.PZ201812020100001203

问题如下:

After selecting a portfolio to immunize Schuylkill’s multiple future outflows, Chaopraya prepares a report on how this immunization strategy would respond to various interest rate scenarios. The scenario analysis is presented in Exhibit 3.




Discuss the effectiveness of Chaopraya’s immunization strategy in terms of duration gaps.

选项:

解释:

Answer:

Chaopraya’s strategy immunizes well for parallel shifts, with little deviation between the outflow portfolio and the immunizing portfolio in market value and BPV. Because the money durations are closely matched, the differences between the outflow portfolio and the immunizing portfolio in market value are small and the duration gaps (as shown by the difference in Δ Portfolio BPVs) between the outflow portfolio and the immunizing portfolio are small for both the upward and downward parallel shifts.

Chaopraya’s strategy does not immunize well for the non-parallel steepening and flattening twists (i.e., structural risks) shown in Exhibit 3. In those cases, the outflow portfolio and the immunizing portfolio market values deviate substantially and the duration gaps between the outflow portfolio and the immunizing portfolio are large.

这道题考的偏嘛?

1 个答案

pzqa015 · 2022年07月26日

嗨,从没放弃的小努力你好:


嗯,这道题考的有点偏。

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