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:
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.
“interest rate volatility introduces risk to effective matching”这句话为什么不算一个缺点？利率波动也包括“non-parallel”吧？所以利率波动给有效matching带来风险为啥不算缺点
