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

金融民工阿聪 · 2023年02月01日

关于CFY

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000015

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.


Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

Correct Answer: A

A is correct. The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.

Cash flow yield我记得在之前说是最好用的，且我们的目标就是要匹配cash flow yield，为什么这里不看了呢？

添加评论
2 个答案
已采纳答案

pzqa015 · 2023年02月01日

嗨，努力学习的PZer你好：


多笔现金流免疫的条件是：

Value of asset≥Value of liability；

BPV of asset=BPV of liability；

convexity of asset＞convexity of liability，且是minimize的。

用不上CFY这个条件。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

Enno · 2023年02月12日

条件应该符合convexity of asset＞convexity of liability 但是题目里liability的portfolio convexity是33.05，选A的话asset的convexity虽然最小，但是比liability的convexity小，是有问题的。是不是应该选B更合适？

Enno · 2023年02月12日

啊……请无视我……题目问的是fails……

pzqa015 · 2023年02月12日

嗨，爱思考的PZer你好：


加油

----------------------------------------------
努力的时光都是限量版，加油！

  • 2

    回答

  • 1

    关注

  • 301

    浏览
相关问题

NO.PZ2018120301000015 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.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. A答案

2024-01-08 21:31 1 · 回答

NO.PZ2018120301000015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.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 如果不考虑其他因素，仅仅看cash flow yiel哪个asset portfolio的cash flow yiel以满足liability portfolio的cash flow yiel 是大于还是小于好？

2023-07-15 19:21 2 · 回答

NO.PZ2018120301000015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.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 请问答案是不是有问题，asset的convexity应该包含liability的convexity，答案应该选B

2023-06-08 21:41 1 · 回答

NO.PZ2018120301000015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.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 如题，为什么asset 凸度要大于负债凸度才可以呢？

2023-04-29 19:04 1 · 回答

NO.PZ2018120301000015 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.Whichportfolio in Exhibit 2 fails to meet the requirements to achieveimmunization for multiple liabilities? Portfolio Portfolio Portfolio CorreAnswer: is correct. The two requirements to achieve immunization for multiple liabilities are for the money ration (or BPV) of the asset anliability to matanfor the asset convexity to exceethe convexity of the liability. Although all three portfolios have similBPVs, Portfolio A is the only portfolio to have a lower convexity ththof the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), anthus, it fails to meet one of the two requirements neefor immunization. 這裡少了一個資產要大於負債的條件嗎? 要不然三個應該都不能匹配吧

2023-02-23 12:13 1 · 回答