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xuxin · 2023年08月16日

老师 structural risk 和 immunization 的关系是什么？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000303

问题如下：

Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

A is correct.

The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.

老师 structural risk 和 immunization 的关系是什么？可以说structural risk 越大，越无法immunization吗？上题中portfolio c 的structural risk 最大，为什们不是他最不可能immunization liability?麻烦帮忙解答一下

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1 个答案

pzqa015 · 2023年08月16日

嗨，努力学习的PZer你好：


structural risk是指收益率曲线非平行移动时，免疫策略失效的风险，所以，structural risk会导致免疫策略失效。

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努力的时光都是限量版，加油！

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