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坏呼呼嘿嘿 · 2023年08月25日

这两种风险怎么比较大小呢？被动投资的流动性风险怎么理解

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004603

问题如下：

Is Adams is most likely correct in her assessment of measurement error?

选项：

A.Yes B.No, because passive management would preclude measurement error C.No, because asset liquidity risk is greater than the risk of measurement error

解释：

Solution

A is correct. Measurement error for Asset BPV can arise even in the classic passive immunization strategy for Type I cash flows, which have set amounts and dates. Asset liquidity can become a risk factor in strategies that add active investing to otherwise passive fixed-income portfolios and would not be applicable here.

B and C are incorrect.

这两种风险怎么比较大小呢？被动投资的流动性风险怎么理解

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2 个答案

pzqa31 · 2024年01月21日

嗨，爱思考的PZer你好：


model risk指的是假设与估计误差导致的免疫失败的风险，包括measurement error带来的免疫失败的风险。

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努力的时光都是限量版，加油！

pzqa31 · 2023年08月25日

嗨，努力学习的PZer你好：


对于passive 策略来说，目标是要minimize tracking error，tracking error的来源有很多方面，其中一个很重要的方面就是估值时间点不一致导致的所用的债券价格不同，进而估值收益率出现差异，这就是measurement error。对于passive尤其是债券的passive来说，由于债券流动性较差，因此benchmark不会频繁调仓（一般都是债券到期后换仓），所以，passive管理也不会频繁调仓，measurement error的风险比债券流动性风险更重要。


如果是active策略，目标是追求收益，那么会频繁的调仓，因此，流动性风险更重要。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

506623496 · 2024年01月21日

measurement error就是model risk 吗？

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