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金融民工阿聪 · 2022年08月13日

关于using coupon-bearing bonds while continuously matching duration

NO.PZ2018120301000032

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.
An upward shift in the yield curve on Strategy 2 will most likely result in the:

选项:

A.

price effect cancelling the coupon reinvestment effect.

B.

price effect being greater than the coupon reinvestment effect.

C.

Coupon reinvestment effect being greater than the price effect.

解释:

Correct Answer: A

A is correct. An upward shift in the yield curve reduces the bond’s value but increases the reinvestment rate, with these two effects offsetting one another. The price effect and the coupon reinvestment effect cancel each other out in the case of an upward shift in the yield curve for an immunized liability.

为什么using coupon-bearing bonds就需要→continuously matching duration呢?

正常来说coupon-bearing bonds的麦考利久期应该不会变化的吧?为啥要动态调整去match

2 个答案
已采纳答案

pzqa015 · 2022年08月14日

嗨,爱思考的PZer你好:


因为coupon bear bond来Match的过程中,收益率曲线变动一次后,portfolio mac duration会变化,免疫条件Mac duration=investment horizon可能会改变,所以要做rebalance,从新构建免疫条件。

coupon bear bond的mac duration=∑(PVCFi/P)*t,收益率曲线发生变化,则PVCFi与P都会变化,mac duration因此会改变。

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pzqa015 · 2022年08月14日

嗨,从没放弃的小努力你好:


不是的

零息债的mac duration=investment horizon,所以,如果match2年的负债,直接用2年期零息债,Match3年期的负债,直接用3年期零息债,用零息债做免疫,债券持有至到期,不涉及到提前卖出的问题,所以,不受收益率曲线变动的影响,零息债免疫用来match负债的现金流是par value。

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