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金融民工阿聪 · 2022年08月13日

这里的Strategy 2

NO.PZ2018120301000030

问题如下:

Doug, the newly hired chief ­financial officer for the City of Radford, asks the deputy ­financial manager, Hui, to prepare an analysis of the current investment portfolio and the city’s current and future obligations. The city has multiple liabilities of different amounts and maturities relating to the pension fund, infrastructure repairs, and various other obligations.

Hui observes that the current ­fixed-income portfolio is structured to match the duration of each liability. Previously, this structure caused the city to access a line of credit for temporary mismatches resulting from changes in the term structure of interest rates.

Doug asks Hui for different strategies to manage the interest rate risk of the city’s ­fixed-income investment portfolio against one-time shifts in the yield curve. Hui considers two different strategies:

  • Strategy 1: Immunization of the single liabilities using zero-coupon bonds held to maturity.
  • Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.
A disadvantage of Strategy 1 is that:

选项:

A.

price risk still exists.

B.

interest rate volatility introduces risk to effective matching

C.

there may not be enough bonds available to match all liabilities.

解释:

Correct Answer: C

C is correct. It may be impossible to acquire zero-coupon bonds to precisely match liabilities because the city’s liabilities have varying maturities and amounts. In many financial markets, zero-coupon bonds are unavailable.

这里的Strategy 2是什么意思?是CF matching的表述吗?还是说依旧是duration matching,只不过用的是有息债券来动态match

1 个答案
已采纳答案

pzqa015 · 2022年08月14日

嗨,爱思考的PZer你好:


不是CF matching

是用coupon bear bond来做duration matching。就像你说的那样,用有息债来动态match。

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