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非恒名 · 2023年04月29日

为什么不选C呢？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004603

问题如下：

Is Adams is most likely correct in her assessment of measurement error?

选项：

A.Yes

B.No, because passive management would preclude measurement error

C.No, because asset liquidity risk is greater than the risk of measurement error

解释：

Solution

A is correct. Measurement error for Asset BPV can arise even in the classic passive immunization strategy for Type I cash flows, which have set amounts and dates. Asset liquidity can become a risk factor in strategies that add active investing to otherwise passive fixed-income portfolios and would not be applicable here.

B and C are incorrect.

Passive 也有measurement risk？

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已采纳答案

pzqa31 · 2023年04月29日

嗨，从没放弃的小努力你好：


在Passive strategy里面(例如Duration-matching策略)，我们需要让资产的关键指标匹配负债的关键指标,例如Duration/Convexity等数据，其实对Duration-matching的效果起到非常重要的影响。

如果本身债券组合的Duration在计算的时候就算错的话、或者有误差的话，那用这个有误差的指标去做Duration-matching，其实匹配的效果可能不会太好。

这种由指标误差带来的不匹配风险，我们就称为Risk of measurement error。在Passive策略里，这种风险是较大的。

最常见的，例如在单期负债匹配时，需要让资产的Macaulay duration = 负债的Macaulay duration（Liability's due date），常见的错误就是在计算Portfolio asset macaulay duration时，是对成份债券的Macaulay duration做了简单的加权平均，用这个Average macaulay duration来充当Portfolio asset的Macaulay duration,其实这是有一定误差的。

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