开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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

添加评论
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！

----------------------------------------------
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。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 2

    回答

  • 0

    关注

  • 418

    浏览
相关问题

NO.PZ2018120301000014 问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Basen Exhibit 2, the portfolio with the greatest structurrisk is: A.Portfolio B.Portfolio C.Portfolio CorreAnswer: is correct. Structurrisk arises from the sign of the ration-matching portfolio. It is receminimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annon-parallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. 如果提问的是最好matching liability的组合，答案应该是B对吧

2024-05-12 15:58 1 · 回答

NO.PZ2018120301000014问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Basen Exhibit 2, the portfolio with the greatest structurrisk is: A.Portfolio AB.Portfolio BC.Portfolio CorreAnswer: is correct. Structurrisk arises from the sign of the ration-matching portfolio. It is receminimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annon-parallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. 我想请问一下，这个的考虑顺序是什么呢？先是看BPV吗？Asset和liabilities BPV 想等，这三个是不是都和liabilities差不多？所以都可以吗？然后是看convexity？大于liabilities的convexity里选个最小的？因为越大的convexity风险越大？那这里为什么还需要看barbell和bullet laer e？怎么看怎么比呢像这种情况，会用到cfyiel？另外，我想请问一下，这里为什么要convexity大于liability，但是越小越好，但是其实涨多跌少是个好性质呢，不是越大越好吗？谢谢

2024-03-21 17:40 4 · 回答

NO.PZ2018120301000014 问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Basen Exhibit 2, the portfolio with the greatest structurrisk is: A.Portfolio B.Portfolio C.Portfolio CorreAnswer: is correct. Structurrisk arises from the sign of the ration-matching portfolio. It is receminimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annon-parallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. 我想确认一下, 我们在讨论structure risk的过程中, 是不是跟yiel啥关系? 哪怕差很多也没关系对吧?

2023-02-22 18:33 1 · 回答

NO.PZ2018120301000014问题如下 Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Basen Exhibit 2, the portfolio with the greatest structurrisk is: A.Portfolio AB.Portfolio BC.Portfolio CorreAnswer: is correct. Structurrisk arises from the sign of the ration-matching portfolio. It is receminimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annon-parallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. 题目问structurrisk最大，不就是问哪个资产组合的凸性最小吗？

2022-07-19 07:48 2 · 回答