NO.PZ2018120301000015
问题如下:
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.
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:
Correct Answer: A
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.
老师请问,下面这些总结的Single Liability和Multiple Liability免疫成功的条件,正确吗?
Single Liability免疫成功的条件:
a.Macaulay Duration of asset >=Macaulay Duration of liability
b.PV of asset >=PV of liability
c.Convexity of asset >=Convexity of liability
Multiple Liability免疫成功的条件:
a.BPV(Money Duration) of asset >=BPV(Money Duration) of liability
b.MV of asset >= MV of liability
c.Convexity of asset >=Convexity of liability