开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

moon · 2022年07月26日

组合A的BPV和liability的BPV差了19(10524-10505)还不算大嘛?

* 问题详情,请 查看题干

NO.PZ201812020100000303

问题如下:

Serena is a risk management specialist with Liability Protection Advisors. Trey, CFO of Kiest Manufacturing, enlists Serena’s help with three projects.

The first project is to defease some of Kiest’s existing fixed-rate bonds that are maturing in each of the next three years. The bonds have no call or put provisions and pay interest annually. Exhibit 1 presents the payment schedule for the bonds.


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.



Serena explains to Trey that the underlying duration-matching strategy is based on the following three assumptions.

1. Yield curve shifts in the future will be parallel.

2. Bond types and quality will closely match those of the liabilities.

3. The portfolio will be rebalanced by buying or selling bonds rather than using derivatives.

The third project for Serena is to make a significant direct investment in broadly diversified global bonds for Kiest’s pension plan. Kiest has a young workforce, and thus, the plan has a long-term investment horizon. Trey needs Serena’s help to select a benchmark index that is appropriate for Kiest’s young workforce. Serena discusses three benchmark candidates, presented in Exhibit 3

With the benchmark selected, Trey provides guidelines to Serena directing her to (1) use the most cost-effective method to track the benchmark and (2) provide low tracking error.

After providing Trey with advice on direct investment, Serena offered him additional information on alternative indirect investment strategies using (1) bond mutual funds, (2) exchange-traded funds (ETFs), and (3) total return swaps.

Trey expresses interest in using bond mutual funds rather than the other strategies for the following reasons.

1. Reason 1: Total return swaps have much higher transaction costs and initial cash outlay than bond mutual funds.

2. Reason 2: Unlike bond mutual funds, bond ETFs can trade at discounts to their underlying indexes, and those discounts can persist.

3. Reason 3: Bond mutual funds can be traded throughout the day at the net asset value of the underlying bonds.


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:

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.

组合A的BPV和liability的BPV差了19(10524-10505)还不算大嘛?


记得FI里面有过一道题(如下)C的duration比A的duration少了0.4,就没有选择答案C,因为差别太大了



1 个答案
已采纳答案

pzqa015 · 2022年07月26日

嗨,爱思考的PZer你好:


那是mac duration相差0.4,mac duration是时间的概念,相差0.4就差了将近半年,如果资产与负债的现金流发生时间差半年,显然是很难免疫成功的。

BPV是portfolio value变动的值,对于一个万级别的数字,相差19,也就是相差千分之一,是可以容忍的,资产的BPV很难做到与负债的BPV完全相等。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 2

    关注
  • 291

    浏览
相关问题

NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 老师,针对multiple liability immunization需要满足的条件,讲解视频中提的是3条如下①BPV (asset) = BPV(Liability) 或者说money ration(asset)=money ration(liability)②Convexity(asset) Convexity(liability)③Convexity(asset)在第②条的基础上选尽量小的但是,框架图里写的3条是①PV(asset) PV(liability)②BPV (asset) = BPV(Liability) 或者说money ration(asset)=money ration(liability)③Convexity(asset) Convexity(liability)不一样的地方我标黄了,请老师明确下考试的时候具体以哪个版本为准,还是说稳妥起见,咱们就按4条去满足?①PV(asset) PV(liability)②BPV (asset) = BPV(Liability) 或者说money ration(asset)=money ration(liability)③Convexity(asset) Convexity(liability)④Convexity(asset)在第③条的基础上选尽量小的

2024-05-16 16:13 1 · 回答

NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 老师 structurrisk 和 immunization 的关系是什么?可以说structurrisk 越大,越无法immunization吗?上题中portfolio c 的structurrisk 最大,为什们不是他最不可能immunization liability?麻烦帮忙解答一下

2023-08-16 11:01 1 · 回答

NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 我记得是不是要求convexity要大于portfolio的convexity, 在里边再选一个最小的,A 的convexity 小于portfolio啊

2023-05-30 18:56 1 · 回答

NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 能定位下BPV这个知识点在哪个reang的哪里吗

2023-02-08 16:16 1 · 回答

NO.PZ201812020100000303 问题如下 Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities? Portfolio Portfolio Portfolio C A is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 老师,single liability 和multiple liability 免疫条件不一样吧?single的需要看BPV吗?

2022-11-21 15:40 1 · 回答