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