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开泰-王飞 · 2022年10月24日

convexity 不是也代表现金流的离散程度吗？应该convexity越大现金流月分散啊？

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000016

问题如下：


Based on Exhibit 2, relative to Portfolio C, Portfolio B:

选项：

A.

has higher cash flow reinvestment risk.

B.

is a more desirable portfolio for liquidity management.

C.

provides less protection from yield curve shifts and twists.

解释：

Correct Answer: B

B is correct. Portfolio B is a laddered portfolio with maturities spread more or less evenly over the yield curve. A desirable aspect of a laddered portfolio is liquidity management. Because there is always a bond close to redemption, the soon-to-mature bond can provide emergency liquidity needs. Barbell portfolios, such as Portfolio C, have maturities only at the short-term and long-term ends and thus are much less desirable for liquidity management.

觉得本题一个答案都不对；（

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1 个答案

pzqa015 · 2022年10月24日

嗨，爱思考的PZer你好：


yield curve shift and twist是指收益率曲线的非平行移动，由于laddered portfolio现金流分散更均匀，所以不同时间点收益率变动不同带来的reinvestment risk更有可能相互抵消，所以，在面对收益率曲线非平行移动时，laddered portfolio可以提供更好的protectation,这是原版书的结论。

这道题跟convexity大小没关系，要根据现金流发生结构判断哪个是laddered。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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