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FrankSun · 2023年04月24日

可以麻烦解释一下这道题吗,谢谢

* 问题详情,请 查看题干

NO.PZ202209060200004705

问题如下:

What contingent strategies would Shrewsbury’s DB clients most likely enter into under the scenario he outlines?

选项:

A.Short a receiver swap B.Long a payer swaption, short a receiver swaption C.Long a receiver swaption, short a payer swaption

解释:

Solution

C is correct. The plan is not fully funded and is also not fully hedged; that is, the money durations of the assets and liabilities are not matched. If the clients’ view is incorrect and rates fall further, the mismatch will result in the liabilities increasing in value while the assets will appreciate by a lesser amount. Swaptions are a contingent security on interest rate swaps. A receiver swaption would allow the plan to receive a fixed (higher) rate if rates rally, but at the cost of the swaption premium. To finance this receiver swaption, the DB plan can sell a payer swaption to collect a premium that finances the receiver swaption. If rates rise above some level, the plan would increase its duration by virtue of being put a swap. The plan may have anticipated closing the duration gap at higher interest rate levels, so being put a swap is in line with an LDI program.

A is incorrect because a receiver swap is not a contingent security.

B is incorrect because it is the reverse of the correct solution—long a receiver swaption, short a payer swaption.

可以麻烦解释一下这道题吗,谢谢

5 个答案

pzqa015 · 2023年07月15日

嗨,努力学习的PZer你好:


根据△P/P=-MD*△y,如果判断利率下行,增加duration,可以让资产的value上涨的更多

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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!

pzqa015 · 2023年07月05日

嗨,爱思考的PZer你好:


He believes these clients should at least consider a costless derivative position to protect from rates falling further if their view is incorrect while also increasing the hedge ratio if rates rise

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客户是expect利率rise,但认为应该保护一下判断错误的风险,也就是hedge利率下行的风险。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

pzqa015 · 2023年06月29日

嗨,努力学习的PZer你好:


这道题用不到表格的信息,用的是下面这段话的信息

Silver considers alternatives to a cash bond portfolio for hedging the liabilities because he is concerned that as time passes and market conditions change, the initially established hedging program may drift from target levels. Some of his clients with DB plans are underfunded and have interest rate hedge ratios well below 100%. These clients expect rates to rise, and should their view prove correct, the duration gap will improve funded status. He believes these clients should at least consider a costless derivative position to protect from rates falling further if their view is incorrect while also increasing the hedge ratio if rates rise.

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

AM1989 · 2023年06月29日

老师好,根据convexity,其实是liability 大于asset,那liability更应该享受convexity 涨多跌少的好处。也就是说,在预期利率上升时,资产下降的幅度应该大于负债下降的幅度。但是这和您给出的结论是相反的,请问我的思路错在了哪里?



pzqa015 · 2023年04月24日

嗨,爱思考的PZer你好:


题目说:Some of his clients with DB plans are underfunded and have interest rate hedge ratios well below 100%. These clients expect rates to rise, and should their view prove correct, the duration gap will improve funded status.

他的DB客户现在是underfunded,也就是asset value<liability value,此时如果利率上涨,对plan来说是好的,因为资产端value下跌的少,负债端value下跌的多,如果利率上涨,可能会出现asset value等于甚至大于liability value的情形。但如果未来利率下降,那么资产端上涨的少,负债端上涨的多,可能会出现asset value进一步小于liability value的情形。所以问应该怎么样来hedge这个风险。

既然是为了Hedge利率下行的风险,肯定要增加资产端的duration,A与B都是降低duration,只有C long receiver和short payer swaption,都是增加duration的方法,所以选择C。

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加油吧,让我们一起遇见更好的自己!

米妮涵 · 2023年07月04日

那里有表明是“为了Hedge利率下行的风险”,客户不是expect 利率是rise的么

rikkisong72 · 2023年07月14日

请问怎么判断利率下行,就要增加asset duration?

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