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zhao_yi1993 · 2023年02月08日

请问为什么the assets have lower convexity and dispersion than the liabilities, they will underperform?

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NO.PZ202209060200004703

问题如下:

Based on the data in Exhibit 2, will the client discussed most likely be able to immunize its DB plan given the interest rate scenario described by Silver?

选项:

A.Yes B.No, because of the differences in money duration C.No, because of the differences in convexity and dispersion

解释:

Solution

C is correct. The money duration of the assets and liabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, and 500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equal money durations and PV01 imply that assets and liabilities would move in tandem. Silver expects a bear steepener; that is, long rates will rise faster than short rates. In a bear steepener, long rates rise faster than short rates in a non-parallel fashion. Given that the assets have lower convexity and dispersion than the liabilities, they will underperform; that is, the liabilities would change by a greater amount than the assets.

A is incorrect because Silver expects a bear steepener; that is, long rates will rise faster than short rates. In a bear steepener, long rates rise faster than short rates in a non-parallel fashion. Given that the assets have lower convexity and dispersion than the liabilities, they will underperform.

B is incorrect because the differences in convexity and dispersion are unfavorable; that is, they are lower for the assets than for the liabilities. If the opposite were the case, then the liabilities would be immunized.

请问为什么the assets have lower convexity and dispersion than the liabilities, they will underperform?

1 个答案

pzqa015 · 2023年02月10日

嗨,从没放弃的小努力你好:


表2 中资产的convexity是21.40,负债的convexity是22.51,不满足免疫的第三个条件,资产的convexity大于负债的convexity,且最小,所以,是有strucutral risk的,所以S同学预期利率曲线 bear steepener时,也就是非平行移动时,资产免疫效果不好。

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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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