NO.PZ2018120301000038
问题如下：
After selecting a portfolio to immunize Schuylkill’s multiple future outflows, Chaopraya prepares a report on how this immunization strategy would respond to various interest rate scenarios. The scenario analysis is presented in Exhibit 3.
Discuss the effectiveness of Chaopraya’s immunization strategy in terms of duration gaps.
选项：
解释：
Correct Answer:
Chaopraya’s
strategy immunizes well for parallel shifts, with little deviation between the
outflow portfolio and the immunizing portfolio in market value and BPV. Because
the money durations are closely matched, the differences between the outflow
portfolio and the immunizing portfolio in market value are small and the
duration gaps (as shown by the difference in Δ Portfolio BPVs) between the
outflow portfolio and the immunizing portfolio are small for both the upward
and downward parallel shifts.
Chaopraya’s
strategy does not immunize well for the non-parallel steepening and flattening
twists (i.e., structural risks) shown in Exhibit 3. In those cases, the
outflow portfolio and the immunizing portfolio market values deviate
substantially and the duration gaps between the outflow portfolio and the
immunizing portfolio are large.
when the yield curve upward or downward parallel shifts, Chaopraya's immunization strategy in terms of duration gaps is effective, because under the two situation, the delt cash flow yield multiple BPV of the asset and liability is equal.
想请问一下，以上的理解对吗？
