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

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？

添加评论
2 个答案
已采纳答案

pzqa015 · 2023年01月27日

嗨，爱思考的PZer你好：


是的

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

----------------------------------------------
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？

  • 2

    回答

  • 2

    关注

  • 397

    浏览
相关问题

NO.PZ2018120301000032 问题如下 ug,the newly hirechief ­financiofficer for the City of Raor asks theputy ­financimanager, Hui, to prepare analysis of the currentinvestment portfolio anthe city’s current anfuture obligations. The cityhmultiple liabilities of fferent amounts anmaturities relating to thepension fun infrastructure repairs, anvarious other obligations. Huiobserves ththe current ­fixeincome portfolio is structureto mattheration of ealiability. Previously, this structure causethe city toaccess a line of cret for temporary mismatches resulting from changes in theterm structure of interest rates. ugasks Hui for fferent strategies to manage the interest rate risk of thecity’s ­fixeincome investment portfolio against one-time shifts in the yielurve. Hui consirs two fferent strategies:Strategy 1: Immunization of the single liabilities using zero-coupon bon helto maturity.Strategy 2: Immunization of the single liabilities using coupon-bearing bon while continuously matching ration. Anupwarshift in the yielcurve on Strategy 2 will most likely result in the: A.prieffecancelling the coupon reinvestment effect. prieffebeing greater ththe coupon reinvestment effect. C.Coupon reinvestment effebeing greater ththe prieffect. CorreAnswer: is correct. upwarshift in the yielcurve reces the bons value but increases the reinvestment rate, with these two effects offsetting one another. The prieffeanthe coupon reinvestment effecancel eaother out in the case of upwarshift in the yielcurve for immunizeliability. 题干给出的是Strategy 2: Immunization of the single liabilities using coupon-bearing bon while continuously matching ration.题目问的是如果收益率曲线出现向上倾斜，再投资风险和价格风险的比较。我是这么理解的如果收益率曲线是非平行移动且向上倾斜，短端利率上涨的少，长端利率上涨的多。那么长端债券价格下降的大，短端价格下降的少，无法做到matsingle liability。ration match的前提是利率出现平行移动，如果非平行移动的话，尽管持续动态的matration，也无法将再投资风险和价格风险相抵消啊。因为还有非平行移动带来的风险呢。这道题实在不明白。我看了所有人的问题，也没有人问到我纠结的点，请老师解读。谢谢。

2024-05-17 10:34 2 · 回答

NO.PZ2018120301000032问题如下 ug,the newly hirechief ­financiofficer for the City of Raor asks theputy ­financimanager, Hui, to prepare analysis of the currentinvestment portfolio anthe city’s current anfuture obligations. The cityhmultiple liabilities of fferent amounts anmaturities relating to thepension fun infrastructure repairs, anvarious other obligations. Huiobserves ththe current ­fixeincome portfolio is structureto mattheration of ealiability. Previously, this structure causethe city toaccess a line of cret for temporary mismatches resulting from changes in theterm structure of interest rates. ugasks Hui for fferent strategies to manage the interest rate risk of thecity’s ­fixeincome investment portfolio against one-time shifts in the yielurve. Hui consirs two fferent strategies:Strategy 1: Immunization of the single liabilities using zero-coupon bon helto maturity.Strategy 2: Immunization of the single liabilities using coupon-bearing bon while continuously matching ration. Anupwarshift in the yielcurve on Strategy 2 will most likely result in the: A.prieffecancelling the coupon reinvestment effect.prieffebeing greater ththe coupon reinvestment effect.C.Coupon reinvestment effebeing greater ththe prieffect. CorreAnswer: is correct. upwarshift in the yielcurve reces the bons value but increases the reinvestment rate, with these two effects offsetting one another. The prieffeanthe coupon reinvestment effecancel eaother out in the case of upwarshift in the yielcurve for immunizeliability. 麻烦请老师一下 coupon bebon 的概念，谢谢！

2023-11-02 14:26 1 · 回答

NO.PZ2018120301000032问题如下 ug,the newly hirechief ­financiofficer for the City of Raor asks theputy ­financimanager, Hui, to prepare analysis of the currentinvestment portfolio anthe city’s current anfuture obligations. The cityhmultiple liabilities of fferent amounts anmaturities relating to thepension fun infrastructure repairs, anvarious other obligations. Huiobserves ththe current ­fixeincome portfolio is structureto mattheration of ealiability. Previously, this structure causethe city toaccess a line of cret for temporary mismatches resulting from changes in theterm structure of interest rates. ugasks Hui for fferent strategies to manage the interest rate risk of thecity’s ­fixeincome investment portfolio against one-time shifts in the yielurve. Hui consirs two fferent strategies:Strategy 1: Immunization of the single liabilities using zero-coupon bon helto maturity.Strategy 2: Immunization of the single liabilities using coupon-bearing bon while continuously matching ration. Anupwarshift in the yielcurve on Strategy 2 will most likely result in the: A.prieffecancelling the coupon reinvestment effect.prieffebeing greater ththe coupon reinvestment effect.C.Coupon reinvestment effebeing greater ththe prieffect. CorreAnswer: is correct. upwarshift in the yielcurve reces the bons value but increases the reinvestment rate, with these two effects offsetting one another. The prieffeanthe coupon reinvestment effecancel eaother out in the case of upwarshift in the yielcurve for immunizeliability. 题中没说是twist还是parallel 呀？

2023-08-12 11:12 1 · 回答

NO.PZ2018120301000032 问题如下 ug,the newly hirechief ­financiofficer for the City of Raor asks theputy ­financimanager, Hui, to prepare analysis of the currentinvestment portfolio anthe city’s current anfuture obligations. The cityhmultiple liabilities of fferent amounts anmaturities relating to thepension fun infrastructure repairs, anvarious other obligations. Huiobserves ththe current ­fixeincome portfolio is structureto mattheration of ealiability. Previously, this structure causethe city toaccess a line of cret for temporary mismatches resulting from changes in theterm structure of interest rates. ugasks Hui for fferent strategies to manage the interest rate risk of thecity’s ­fixeincome investment portfolio against one-time shifts in the yielurve. Hui consirs two fferent strategies:Strategy 1: Immunization of the single liabilities using zero-coupon bon helto maturity.Strategy 2: Immunization of the single liabilities using coupon-bearing bon while continuously matching ration. Anupwarshift in the yielcurve on Strategy 2 will most likely result in the: A.prieffecancelling the coupon reinvestment effect. prieffebeing greater ththe coupon reinvestment effect. C.Coupon reinvestment effebeing greater ththe prieffect. CorreAnswer: is correct. upwarshift in the yielcurve reces the bons value but increases the reinvestment rate, with these two effects offsetting one another. The prieffeanthe coupon reinvestment effecancel eaother out in the case of upwarshift in the yielcurve for immunizeliability. coupon-bearing bon实并不一定这个coupon的reinvestment risk就能抵消pririsk吧（因为conpon和price的变动不一定能刚好抵消）？所以我们在3级中是假设，只要提到coupon-bearing bon就粗略地假设默认它是处于immunization的状态吗？

2023-01-20 20:04 1 · 回答