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AnthonyLu · 2023年01月17日

multi liabilities免疫策略

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000014

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.


Based on Exhibit 2, the portfolio with the greatest structural risk is:

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

Correct Answer: C

C is correct. Structural risk arises from the design of the duration-matching portfolio. It is reduced by minimizing the dispersion of the bond positions, going from a barbell structure to more of a bullet portfolio that concentrates the component bonds’ durations around the investment horizon. With bond maturities of 1.5 and 11.5 years, Portfolio C has a definite barbell structure compared with those of Portfolios A and B, and it is thus subject to a greater degree of risk from yield curve twists and non-parallel shifts. In addition, Portfolio C has the highest level of convexity, which increases a portfolio’s structural risk.

请问multi liabilities最优免疫策略不是应该PV of A > PV of L，BPV Asset = BPV Liability，且Convexity A 在大于 Conv L的前提下，越小越好吗？这么看这题的B选项应该是最优啊

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AnthonyLu · 2023年01月17日

老师我看错问题了，不好意思，请忽略我的问题吧，抱歉

2 个答案
已采纳答案

韩韩_品职助教 · 2023年01月19日

嗨，努力学习的PZer你好：


没问题，如果有其他的问题，欢迎同学随时提问！祝学习顺利！

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

ZHANGSHIYI · 2023年02月12日

为什么不选A？ convexity of A 31.98 <convexity of Liability 33.05, 无法满足immunization的策略。 C虽然convexity50.21比较大，但是至少可以做到immunization. 那么不是更应该选A？

pzqa015 · 2023年02月12日

嗨，爱思考的PZer你好：


是在所有大于负债convexity的portfolio中选最小的，负债的convexity是33.05，A的convexity小于负债convexity，直接排除。

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加油吧，让我们一起遇见更好的自己！

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