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toffee · 2023年05月22日

关于这道题

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000025

问题如下：

Leah informs Molly that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation. Leah expresses concern about the risks associated with an immunization strategy for this obligation. In response, Molly makes the following statements about liability-driven investing:

  • Statement 1: Although the amount and date of SD&R’s liability is known with certainty, measurement errors associated with key parameters relative to interest rate changes may adversely affect the bond portfolios.
  • Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yield curve.
Which of Molly’s statements about liability-driven investing is (are) correct?

选项：

A.

Statement 1 only.

B.

Statement 2 only.

C.

Both Statement 1 and Statement 2.

解释：

Correct Answer: C

C is correct. Molly is correct that measurement error can arise even in immunization strategies for Type 1 cash flows, which have set amounts and set dates. Also, a parallel shift in yield curves is a sufficient but not a necessary condition to achieve the desired outcome. Non-parallel shifts as well as twists in the yield curve can change the cash flow yield on the immunizing portfolio; however, minimizing the dispersion of cash flows in the asset portfolio mitigates this risk. As a result, both statements are correct.

minimizing the dispersion of cash flows in the asset portfolio mitigates this risk（非平行移动）


之前有个知识点是laddered portfolio，它的优点就是 现金流 比较均匀的分布在收益率曲线上，对收益率曲线非平行移动有一定的抵抗作用。

但是答案又说 最小化现金分散度 可以缓解非平行移动的风险。 那感觉怎么是矛盾的呢？最小化现金分散度不就是bullet，那上面那个又是laddered，那请问到底那个可以抵抗非平行移动带来的风险？

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1 个答案

pzqa015 · 2023年05月23日

嗨，努力学习的PZer你好：


这是两个知识点。

你说的laddered portfolio的知识点是面对收益率曲线非平行移动时laddered portfolio 可以提供更好的protection。

这里跟免疫不同，免疫要让资产的value变动cover负债的value变动，而这里没有负债了，只有资产端的portfolio，protection效果好的，就是在yield curve shift and twist时，portfolio value波动小的。yield curve shift and twist是指收益率曲线的非平行移动，在收益率曲线非平行移动时，由于laddered portfolio现金流分散更均匀，所以不同时间点收益率变动不同带来的reinvestment risk更有可能相互抵消，所以，在面对收益率曲线非平行移动时，laddered

这道题是免疫的知识点，convexity小的，structural risk小，是为在收益率曲线非平行移动时，让portfolio的现金流可以cover负债的现金流。

所以，这道题跟laddered portfolio那个知识点没关系。

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