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涟在 · 2023年01月08日

请问可以解释一下statement1的意思吗？

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000025

问题如下：

Leah informs Molly that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation. Leah expresses concern about the risks associated with an immunization strategy for this obligation. In response, Molly makes the following statements about liability-driven investing:

  • Statement 1: Although the amount and date of SD&R’s liability is known with certainty, measurement errors associated with key parameters relative to interest rate changes may adversely affect the bond portfolios.
  • Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yield curve.
Which of Molly’s statements about liability-driven investing is (are) correct?

选项：

A.

Statement 1 only.

B.

Statement 2 only.

C.

Both Statement 1 and Statement 2.

解释：

Correct Answer: C

C is correct. Molly is correct that measurement error can arise even in immunization strategies for Type 1 cash flows, which have set amounts and set dates. Also, a parallel shift in yield curves is a sufficient but not a necessary condition to achieve the desired outcome. Non-parallel shifts as well as twists in the yield curve can change the cash flow yield on the immunizing portfolio; however, minimizing the dispersion of cash flows in the asset portfolio mitigates this risk. As a result, both statements are correct.

没有看懂傻子意思，谢谢

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3 个答案

pzqa015 · 2023年06月10日

嗨，努力学习的PZer你好：


算是一个重点吧，是需要掌握的，measurement error会导致model risk.

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

pzqa015 · 2023年05月22日

嗨，爱思考的PZer你好：


是举measurement error的例子。

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努力的时光都是限量版，加油！

pzqa015 · 2023年01月08日

嗨，努力学习的PZer你好：


免疫过程中有大量的假设，比如，计算负债的PV，用PBO或者ABO，都有大量的参数假设，再比如，一般通常会假设portfolio中equity的duration=0，这些都是measurement errors，这种情况情况下，即使负债发生的时间和金额是已知的，也会发生免疫失败的风险。原版书中总结的measurement error主要有四方面，见下图

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努力的时光都是限量版，加油！

toffee · 2023年05月22日

没说这是养老金啊？

13675759099 · 2023年06月08日

这个error课件里有讲到么？算是重点么？要背么？在哪里哇？求指点。

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NO.PZ2018120301000025 问题如下 Leahinforms Molly thC ha single $500 million liability e in nineyears, anshe wants SR to construa bonportfolio thearns a rateof return sufficient to poff the obligation. Leexpresses concern aboutthe risks associatewith immunization strategy for this obligation. Inresponse, Molly makes the following statements about liability-iveninvesting:Statement 1: Although the amount ante of SR’s liability is known with certainty, measurement errors associatewith key parameters relative to interest rate changes maersely affethe bonportfolios.Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yielcurve. Whichof Molly’s statements about liability-iven investing is (are) correct? A.Statement 1 only. B.Statement 2 only. C.Both Statement 1 anStatement 2. CorreAnswer: is correct. Molly is correthmeasurement error carise even in immunization strategies for Type 1 cash flows, whihave set amounts anset tes. Also, a parallel shift in yielcurves is a sufficient but not a necessary contion to achieve the sireoutcome. Non-parallel shifts well twists in the yielcurve cchange the cash flow yielon the immunizing portfolio; however, minimizing the spersion of cash flows in the asset portfolio mitigates this risk. a result, both statements are correct. 然后一般在计算资产的Macaulration时，是对组合内各成份债券的Macaulration进行了简单的加权平均。这种加权平均算出来的数据，并不准确。因为会产生衡量误差（Measurement errors），而该指标又是匹配时需要满足的条件，所以这个误差会影响到匹配的效果。-------上面摘自最新那个问题回答。我的问题是这种计算属于measurement error还是mol risk/error。还是都属于？或者说measurement error和mol risk/error是否有被包含的关系呢？

2024-06-13 22:04 1 · 回答

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