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Lulubaobao · 2023年08月03日

Multiple liability duration matching

  1. CFA III
  2. Fixed Income

NO.PZ2023032703000022

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：

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.

Multiple liability duration matching，需要资产的convexity大于负债的convexity，portfolio A不满足。请问这题不需要immunization嘛？

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2 个答案

pzqa015 · 2023年08月11日

嗨，爱思考的PZer你好：


达不到免疫的要求，这个portfolio就用不了，这就谈不上免疫相关的风险了。

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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08月04日

嗨，从没放弃的小努力你好：


这题问的是structural risk最大，stuructural risk是指收益率曲线非平行移动，免疫失败的风险，convexity越大，structural risk越大。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

卢天悦 · 2023年08月10日

那convexity没有达到immunization的要求算什么risk呢？

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NO.PZ2023032703000022 问题如下 Serena Soto is a risk management specialist with Liability Protection Aisors. Trey Huens, CFO of Kiest Manufacturing, enlists Soto’s help with three projects.The seconprojefor Soto is to help Huens immunize a $20 million portfolio of liabilities. The liabilities range from 3.00 years to 8.50 years with a Macaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexity of 33.05, anbasis point value (BPV) of $10,505. Soto suggesteemploying a ration-matching strategy using one of the three Aratebonportfolios presentein Exhibit 2.Baseon Exhibit 2, the portfolio with the greatest structurrisk is: A.Portfolio B.Portfolio C.Portfolio C is correct. Structurrisk arises from the sign of the ration-matching portfolio. It is receminimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ ration arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annon-parallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. multiple liabilities ration matching 的第三个条件是covexity of assets are greater ththose of liabilities. 这里c 符合这个标准，但是structure risk最大，所以这两者并不冲突对吗？

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