statement 1

NO.PZ201812020100000405 问题如下 Whiof Molly’s statements about liability-iven investing is (are)correct? Statement 1 only Statement 2 only. Both Statement 1 and Statement 2. Cis correct. Molly is correthmeasurement error carise even inimmunization strategies for Type 1 cash flows, whihave set amounts ansettes. Also, a parallel shift in yielcurves is a sufficient but not anecessary contion to achieve the sireoutcome. Non-parallel shifts welltwists in the yielcurve cchange the cash flow yielon the immunizingportfolio; however, minimizing the spersion of cash flows in the assetportfolio mitigates this risk. a result, both statements are correct. 这一题是matsingle liability。那么在portfolio里直接买9年到期的zero coupon bon可以matsingle liability并且不会受利率风险的影响了。那么statement1就是错的了。但是答案说statement1是对的，请问这点怎么理解？

NO.PZ201812020100000405问题如下 Whiof Molly’s statements about liability-iven investing is (are)correct? Statement 1 only Statement 2 only.Both Statement 1 and Statement 2. Cis correct. Molly is correthmeasurement error carise even inimmunization strategies for Type 1 cash flows, whihave set amounts ansettes. Also, a parallel shift in yielcurves is a sufficient but not anecessary contion to achieve the sireoutcome. Non-parallel shifts welltwists in the yielcurve cchange the cash flow yielon the immunizingportfolio; however, minimizing the spersion of cash flows in the assetportfolio mitigates this risk. a result, both statements are correct. 答案没有cash flow matching 的问题？

NO.PZ201812020100000405问题如下 Whiof Molly’s statements about liability-iven investing is (are)correct? Statement 1 only Statement 2 only.Both Statement 1 and Statement 2. Cis correct. Molly is correthmeasurement error carise even inimmunization strategies for Type 1 cash flows, whihave set amounts ansettes. Also, a parallel shift in yielcurves is a sufficient but not anecessary contion to achieve the sireoutcome. Non-parallel shifts welltwists in the yielcurve cchange the cash flow yielon the immunizingportfolio; however, minimizing the spersion of cash flows in the assetportfolio mitigates this risk. a result, both statements are correct. 老师 ration matching不假设收益率曲线不发生改变吗

NO.PZ201812020100000405 问题如下 SRCapit(SR), a globasset management company, specializes in ­fixeincomeinvestments. Molly, chief investment officer, is meeting with a prospectiveclient, Leof Puy FinanciCompany (C). Leahinforms Molly thC’s previous ­fixeincome manager focuseon the interestrate sensitivities of assets anliabilities when making asset allocationcisions. Molly explains that, in contrast, SR’s investment process ­firstanalyzes the size antiming of client liabilities, anthen it buil assetportfolio baseon the interest rate sensitivity of those liabilities. Mollynotes thSR generally uses actively manageportfolios signeto earna return in excess of the benchmark portfolio. For clients interesteinpassive exposure to ­fixeincome instruments, SR offers two aitionalapproaches.Approa1: Seeks to fully replicate a small range of benchmarks consisting of government bon.Approa2: Follows enhanceinxing process for a subset of the bon incluin the Bloomberg Barclays US Aggregate BonInx. Approa2 malso customizeto refleclient preferences.Toillustrate SR’s immunization approafor controlling portfolio interestrate risk, Molly scusses a hypotheticportfolio composeof two non-callable,investment-gra bon. The portfolio ha weighteaverage yiel to-maturityof 9.55%, a weighteaverage coupon rate of 10.25%, ana cash flow yielof9.85%.Leahinforms Molly thC ha single $500 million liability e in nineyears, anshe wants SR to construa bonportfolio thearns a rateof return sufficient to poff the obligation. Leexpresses concern aboutthe risks associatewith immunization strategy for this obligation. Inresponse, Molly makes the following statements about liability-iveninvesting:Statement 1: Although the amount ante of SR’s liability is known with certainty, measurement errors associatewith key parameters relative to interest rate changes maersely affethe bonportfolios.Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yielcurve.Mollyprovis the four US llar–nominatebonportfolios in Exhibit 1 forconsiration. Molly explains ththe portfolios consist of non-callable,investment-gra corporate angovernment bon of various maturities becausezero-coupon bon are unavailable.The scussion turns to benchmarkselection. C’s previous fixeincome manager usea custom benchmark with thefollowing characteristics:Characteristic 1: The benchmark portfolio invests only in investment-gra bon of US corporations with a minimum issuansize of $250 million.Characteristic 2: Valuation occurs on a weekly basis, because many of the bon in the inx are valueweekly.Characteristic 3: Historicprices anportfolio turnover are available for review.Mollyexplains that, in orr to evaluate the asset allocation process, fixeincomeportfolios shoulhave appropriate benchmark. Leasks for benchmark aiceregarng C’s portfolio of short-term anintermeate-term bon, allnominatein US llars. Molly presents three possible benchmarks inExhibit 2. Whiof Molly’s statements about liability-iven investing is (are)correct? Statement 1 only Statement 2 only. Both Statement 1 and Statement 2. Cis correct. Molly is correthmeasurement error carise even inimmunization strategies for Type 1 cash flows, whihave set amounts ansettes. Also, a parallel shift in yielcurves is a sufficient but not anecessary contion to achieve the sireoutcome. Non-parallel shifts welltwists in the yielcurve cchange the cash flow yielon the immunizingportfolio; however, minimizing the spersion of cash flows in the assetportfolio mitigates this risk. a result, both statements are correct. statement 1 中的 measurement errors指的是什么呢