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非恒名 · 2023年01月24日

如果没有提到duration matching 的条件呢？

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000032

问题如下：

Doug, the newly hired chief ­financial officer for the City of Radford, asks the deputy ­financial manager, Hui, to prepare an analysis of the current investment portfolio and the city’s current and future obligations. The city has multiple liabilities of different amounts and maturities relating to the pension fund, infrastructure repairs, and various other obligations.

Hui observes that the current ­fixed-income portfolio is structured to match the duration of each liability. Previously, this structure caused the city to access a line of credit for temporary mismatches resulting from changes in the term structure of interest rates.

Doug asks Hui for different strategies to manage the interest rate risk of the city’s ­fixed-income investment portfolio against one-time shifts in the yield curve. Hui considers two different strategies:

  • Strategy 1: Immunization of the single liabilities using zero-coupon bonds held to maturity.
  • Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.
An upward shift in the yield curve on Strategy 2 will most likely result in the:

选项：

A.

price effect cancelling the coupon reinvestment effect.

B.

price effect being greater than the coupon reinvestment effect.

C.

Coupon reinvestment effect being greater than the price effect.

解释：

Correct Answer: A

A is correct. An upward shift in the yield curve reduces the bond’s value but increases the reinvestment rate, with these two effects offsetting one another. The price effect and the coupon reinvestment effect cancel each other out in the case of an upward shift in the yield curve for an immunized liability.

是不是因为没有提到MacDuration所以也不一定哪个影响更大？

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已采纳答案

pzqa015 · 2023年01月27日

嗨，爱思考的PZer你好：


是的

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努力的时光都是限量版，加油！

pzqa015 · 2023年01月26日

嗨，爱思考的PZer你好：


不是的。

Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.

这句话翻译过来就是，用coupon bear债券组成的portfolio来match单笔现金流负债，始终保持mac duration 是match的，也就是单笔现金流免疫的条件mac duration=investment horizon是始终成立的，那么也就有了price risk与reinvestment risk是相互抵消的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

非恒名 · 2023年01月26日

不好意思，我问的时候好像没表达清楚，就是说如果题目里没有提到duration matching 的条件，不是continuously matching duration的话，是不是就没办法确定哪个risk更大了呢？

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