NO.PZ2018120301000038
问题如下：
After selecting a portfolio to immunize Schuylkill’s multiple future outflows, Chaopraya prepares a report on how this immunization strategy would respond to various interest rate scenarios. The scenario analysis is presented in Exhibit 3.
Discuss the effectiveness of Chaopraya’s immunization strategy in terms of duration gaps.
选项：
解释：
Correct Answer:
Chaopraya’s
strategy immunizes well for parallel shifts, with little deviation between the
outflow portfolio and the immunizing portfolio in market value and BPV. Because
the money durations are closely matched, the differences between the outflow
portfolio and the immunizing portfolio in market value are small and the
duration gaps (as shown by the difference in Δ Portfolio BPVs) between the
outflow portfolio and the immunizing portfolio are small for both the upward
and downward parallel shifts.
Chaopraya’s
strategy does not immunize well for the non-parallel steepening and flattening
twists (i.e., structural risks) shown in Exhibit 3. In those cases, the
outflow portfolio and the immunizing portfolio market values deviate
substantially and the duration gaps between the outflow portfolio and the
immunizing portfolio are large.
- model risk: it shows that the immunization performs better under the situation of yield curve parallel shift than that of non-parallel shift
- spread risk: the asset yield change does not equal liability yield change under the situation of non-parallel shift
