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dognmnm · 2023年02月23日

多筆負債的duration matching

  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.

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

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1 个答案

发亮_品职助教 · 2023年02月27日

嗨，爱思考的PZer你好：


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


多期负债匹配这里，有时候PV这个条件题干不给，这种情况就默认PV满足要求。


主要是因为多期负债这里，我们有一个匹配指标是BPV，让资产的BPV=负债的BPV

而BPV这个指标，既考虑到了PV，又考虑到了duration。所以让资产的BPV=负债的BPV，就是这个指标已经考虑到PV了，是让资产的PV和负债的PV，进行Duration调整之后相等。

所以多期负债匹配这块，有时候题干只给BPV数据，没给PV数据。如果没给PV数据，就默认满足条件，如果给了，就再利用PV数据判断一下。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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