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凉茶325 · 2023年01月31日

min convexity

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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.

这道题说DFC负债的PV是500million,并没有已知portfolio 1-4的PV信息,所以,免疫的第一个条件用不上。

第二个条件是mac D=investment horizion,DFC的investment horizon为9年,所以,要选择portfolio mac D与9年最近的,B选项是最接近9的。

对于第一个条件,PV of asset≥PV of liability。为了节省成本,可以让PV of asset=PV of liability,但为了保证成功,最好让PV of asset>PV of liability。


这个部分我理解了

1.single liability 不是需要min convexity 吗?那样应该选C啊?

2.是需要先满足D asset大于duration of liability的条件吗?才考虑convexity

1 个答案

pzqa015 · 2023年02月01日

嗨,爱思考的PZer你好:


1.single liability 不是需要min convexity 吗?那样应该选C啊?

--

C 的mac duration是8,太小了,先排除了。


2.是需要先满足D asset大于duration of liability的条件吗?才考虑convexity

---

是的,前两个条件的优先级高于第三个条件(convexity)

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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