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pseudonym · 2024年01月25日

如何通过Treasuries管理流动性？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004404

问题如下：

Which of Choate’s considerations regarding the precautions he can take in the portfolio is least likely correct?

选项：

A.Consideration 2 B.Consideration 1 C.Consideration 3

解释：

Solution

C is correct. Consideration 3 is incorrect. Hedging tail risks through portfolio diversification is not difficult to implement and only has modest incremental cost. Hedging with derivatives, such as credit default swaps, is effective but costly.

A is incorrect because Consideration 2 is correct.

B is incorrect because Consideration 1 is correct.

如题，如何通过Treasuries管理流动性？

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1 个答案

pzqa015 · 2024年01月25日

嗨，努力学习的PZer你好：


手中有流动性不好的债，通过short futures，把久期调成0，随着债券到期或卖出，按比例平仓futures，相当于把流动性不好的债的现金流给对冲掉了，这是一种管理流动性的方法。

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