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005 · 2023年06月28日

请问表中三个Portfolio的CFY明显不同会影响本题的选择及duration-matching strategy吗

NO.PZ2023061601000022

问题如下:

Serena Soto is a risk management specialist with Liability Protection Advisors. Trey Hudgens, CFO of Kiest Manufacturing, enlists Soto’s help with three projects.

The second project for Soto is to help Hudgens 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. Soto suggested employing a duration-matching strategy using one of the three AAA rated bond portfolios presented in Exhibit 2.


Based on Exhibit 2, the portfolio with the greatest structural risk is:

选项:

A.Portfolio A. B.Portfolio B. C.Portfolio C.

解释:

Correct Answer: C

C is correct. Structural risk arises from the design of the duration-matching portfolio. It is reduced by minimizing the dispersion of the bond positions, going from a barbell structure to more of a bullet portfolio that concentrates the component bonds’ duration around the investment horizon. With bond maturities of 1.5 and 11.5 years, Portfolio C has a definite barbell structure compared with those of Portfolios A and B, and it is thus subject to a greater degree of risk from yield curve twists and non-parallel shifts. In addition, Portfolio C has the highest level of convexity, which increases a portfolio’s structural risk.

请问表中三个Portfolio的CFY明显不同会影响本题的选择及duration-matching strategy吗

1 个答案

pzqa31 · 2023年06月28日

嗨,从没放弃的小努力你好:


多期负债匹配时资产的MV和负债的MV不一定相等,资产的CFY和负债的CFY也不一定相等,所以不用管CFY,duration matching的条件里也没有CFY。

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努力的时光都是限量版,加油!

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