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Monica219 · 2023年02月08日

你好

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000303

问题如下：

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：

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.

能定位下BPV这个知识点在哪个reading的哪里吗

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1 个答案

pzqa015 · 2023年02月09日

嗨，从没放弃的小努力你好：


基础班R12-Liability-driven and index based strategies-interest rate immunization-managing the interest rate risk of multiple liabilities

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努力的时光都是限量版，加油！

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