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鹏鹏 · 2023年10月19日

risk profile “drift“是什么意思啊

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NO.PZ202205190400000102

问题如下:

Q. Discuss actions that Grides should take to alleviate Brodka’s concerns.

选项:

解释:

Solution

As a result of the allocation changes, there will be a reduction in the liquid and semi-liquid categories and an increase in the illiquid category under both normal and stress conditions. The proposed allocation shifting 5% of the endowment’s investments from liquid to illiquid assets would result in an increase in the overall illiquidity profile.

Regarding Brodka’s concern about the liquidity profile, Grides needs to ensure that even under stress conditions the proposed allocation continues to comply with the liquidity budgeting framework in place. From an ongoing management perspective—and particularly at times when the liquidity profile of the proposed allocation is closer to the minimum thresholds set through the liquidity budget—Grides should plan to closely monitor the portfolio’s liquidity profile and stress test it periodically to make sure portfolio liquidity remains adequate.

Regarding Brodka’s concern of risk profile “drift,” illiquid assets carry extremely high rebalancing costs. Because asset liquidity tends to decrease in periods of market stress, it is important to have sufficient liquid assets and rebalancing mechanisms in place to ensure the portfolio’s risk profile remains within acceptable risk targets and does not “drift” as the relative valuations of different asset classes fluctuate during stress periods. Since liquid assets will decrease due to the proposed allocation, Grides must ensure an effective rebalancing mechanism is adopted prior to the investment and is consistently followed thereafter. That mechanism can either be through a systematic discipline, such as calendar rebalancing or percent-range rebalancing that set pre-specified tolerance bands for asset weights. Or, an automatic rebalancing method can be adopted, such as by using adjustments to a public market allocation that is correlated to a private market allocation (likely a more illiquid exposure) to rebalance private market risk.

Contrary to its desired intent, and providing grounds for Brodka’s concerns, this design would exacerbate the endowment’s liquidity needs in severe market downturns. Given the possibility of such adverse events within Kemney’s long-term planning horizon, the policy is very relevant as potentially introducing undesired risks.

请问 risk profile “drift“是什么意思啊,在哪里讲到了啊

1 个答案

lynn_品职助教 · 2023年10月19日

嗨,从没放弃的小努力你好:


请问 risk profile “drift“是什么意思啊,在哪里讲到了啊


这是Reading 28 ■ Case Study in Portfolio Management: Institutional课后题第7题,知识点是在讲流动性管理,下图中画星号的写上就可以了,用词也可以再简略一点。druft是风险配置偏移(漂移)的意思,算是行业黑话把,其实就是改变了。


视频在原版书习题课Case Study in Risk Management: Institutional的Q6~7两倍速10:40分钟处。


文章中只解决了前两个concern,即减少基金的流动性和在市场压力下引起风险配置的漂移。


至于第三个concern,即改变基金的整体风险配置,文章中并没有提到相应的解决方案。只提到了在市场压力下进行风险再平衡的必要性,这可以确保基金的风险配置保持在可接受的风险目标之内,但并没有具体提到如何处理整体风险配置的问题。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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