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

dognmnm · 2023年02月22日

structure risk与cash flow yield

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000014

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.


Based on Exhibit 2, the portfolio with the greatest structural risk is:

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

Correct Answer: C

C is correct. Structural risk arises from the design of the duration-matching portfolio. It is reduced by minimizing the dispersion of the bond positions, going from a barbell structure to more of a bullet portfolio that concentrates the component bonds’ durations around the investment horizon. With bond maturities of 1.5 and 11.5 years, Portfolio C has a definite barbell structure compared with those of Portfolios A and B, and it is thus subject to a greater degree of risk from yield curve twists and non-parallel shifts. In addition, Portfolio C has the highest level of convexity, which increases a portfolio’s structural risk.

我想确认一下, 我们在讨论structure risk的过程中, 是不是跟CF yield没啥关系? 哪怕差很多也没关系对吧?

添加评论
1 个答案

发亮_品职助教 · 2023年02月27日

嗨，从没放弃的小努力你好：


我们在讨论structure risk的过程中, 是不是跟CF yield没啥关系? 


有关系。本质上Structural risk是由现金流分布不同引起的。就是资产的现金流和负债的现金流分布不一样，所以导致利率变动时，资产的表现和负债的表现不一致，于是导致Strucutral risk。所以，在判断免疫、比较Structural risk的时候，我们需要看现金流分布dispersion。


但因为债券Portfolio没有直接可以利用的Dispersion指标，判断起来比较麻烦。所以后面就找到了债券现金流dispersion和convexity的关系。

就是在债券Macaulay duration与cash flow yield保持不变的情况下，债券的现金流dispersion越大，那么对应的convexity越大；现金流dispersion越小， 对应的convexity就越小。

这样就把比较Dispersion，转换成了看债券的convexity指标。而convexity是债券直接可得的数据。


后面就直接利用convexity判断债券的structural risk。convexity越大，structural risk越大

但利用convexity比较有个前提，就是几个债券的Macaulay duration和cash flow yield要一样大， 这样比较convexity才有意义。因为几个债券的Macaulay duration和cash flow yield一样大时，才能保证convexity的大小完全受dispersion的影响，才能通过convexity判别structural risk大小。


我们教材出题，为了保证严谨，就把债券的cash flow yield和macaulay duration也给出来。目的是想让我们知道，几个portfolio的条件差不多，可以比较convexity数据。


注意，到目前为止，cash flow yield这个数据，也只是为了出题严谨给了指标，还没有利用cash flow yield来做题的情况出现。所以之后出现了CF yield，就当成是题干默认的条件，只是为了严谨并非是让我们利用它解题。


哪怕差很多也没关系对吧?


差很多的话，就说明convexity指标不可比，不能利用convexity大小判断structural risk大小。

这种情况不会出现，因为教材没有涉及在这样的背景下如何判断structural risk，所以基本上题目都是CF yield差不多的。

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

  • 1

    回答

  • 3

    关注

  • 391

    浏览
相关问题

NO.PZ2018120301000014 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.Basen Exhibit 2, the portfolio with the greatest structurrisk is: A.Portfolio B.Portfolio C.Portfolio CorreAnswer: is correct. Structurrisk arises from the sign of the ration-matching portfolio. It is receminimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annon-parallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. 如果提问的是最好matching liability的组合，答案应该是B对吧

2024-05-12 15:58 1 · 回答

NO.PZ2018120301000014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.Basen Exhibit 2, the portfolio with the greatest structurrisk is: A.Portfolio AB.Portfolio BC.Portfolio CorreAnswer: is correct. Structurrisk arises from the sign of the ration-matching portfolio. It is receminimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annon-parallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. 我想请问一下，这个的考虑顺序是什么呢？先是看BPV吗？Asset和liabilities BPV 想等，这三个是不是都和liabilities差不多？所以都可以吗？然后是看convexity？大于liabilities的convexity里选个最小的？因为越大的convexity风险越大？那这里为什么还需要看barbell和bullet laer e？怎么看怎么比呢像这种情况，会用到cfyiel？另外，我想请问一下，这里为什么要convexity大于liability，但是越小越好，但是其实涨多跌少是个好性质呢，不是越大越好吗？谢谢

2024-03-21 17:40 4 · 回答

NO.PZ2018120301000014 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.Basen Exhibit 2, the portfolio with the greatest structurrisk is: A.Portfolio B.Portfolio C.Portfolio CorreAnswer: is correct. Structurrisk arises from the sign of the ration-matching portfolio. It is receminimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annon-parallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. 请问multi liabilities最优免疫策略不是应该PV of PV of L，BPV Asset = BPV Liability，且Convexity A 在大于 Conv L的前提下，越小越好吗？这么看这题的B应该是最优啊

2023-01-17 04:38 2 · 回答

NO.PZ2018120301000014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.Basen Exhibit 2, the portfolio with the greatest structurrisk is: A.Portfolio AB.Portfolio BC.Portfolio CorreAnswer: is correct. Structurrisk arises from the sign of the ration-matching portfolio. It is receminimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annon-parallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. 题目问structurrisk最大，不就是问哪个资产组合的凸性最小吗？

2022-07-19 07:48 2 · 回答