NO.PZ2018120301000031
问题如下:
Doug,
the newly hired chief financial officer for the City of Radford, asks the
deputy financial manager, Hui, to prepare an analysis of the current
investment portfolio and the city’s current and future obligations. The city
has multiple liabilities of different amounts and maturities relating to the
pension fund, infrastructure repairs, and various other obligations.
Hui
observes that the current fixed-income portfolio is structured to match the
duration of each liability. Previously, this structure caused the city to
access a line of credit for temporary mismatches resulting from changes in the
term structure of interest rates.
Doug asks Hui for different strategies to manage the interest rate risk of the city’s fixed-income investment portfolio against one-time shifts in the yield curve. Hui considers two different strategies:
Which
duration measure should be matched when implementing Strategy 2?
选项:
A.
Key rate
B.
Modified
C.
Macaulay
解释:
Correct Answer: C
C is correct. An investor having an investment horizon equal to the bond’s Macaulay duration is effectively protected, or immunized, from the first change in interest rates, because price and coupon reinvestment effects offset for either higher or lower rates.
麻烦问老师下如果是含权债券,是key rate duration match还是effective duration match?谢谢