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知念杏子 · 2023年01月09日

题目里问的不是SD&R的负债吗？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000406

问题如下：

Based on Exhibit 1, which of the portfolios will best immunize SD&R’s single liability?

选项：

A.

Portfolio 1

B.

Portfolio 2

C.

Portfolio 3

解释：

B is correct. In the case of a single liability, immunization is achieved by matching the bond portfolio’s Macaulay duration with the horizon date. DFC has a single liability of $500 million due in nine years. Portfolio 2 has a Macaulay duration of 8.9, which is closer to 9 than that of either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability.

题目里问的不是SD&R的负债吗？怎么解析里又变成DFC的了？

DFC has a single $500 million liability due in nine years

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1 个答案

pzqa015 · 2023年01月09日

嗨，从没放弃的小努力你好：


SD&R是一家资产管理公司，他的客户是DFC，SD&R要帮助DFC去管理资产，SD&R构建了4个portfolio，去cover负债，这道题表述的不是很好，应该是which of the portfolios will best immunize DFC's single liability

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