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mino酱是个小破货 · 2024年01月31日

麻烦问老师下如果是含权债券，是key rate duration 还是effective duration

  1. CFA III
  2. Fixed Income

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:

  • Strategy 1: Immunization of the single liabilities using zero-coupon bonds held to maturity.
  • Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.
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

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1 个答案

pzqa31 · 2024年01月31日

嗨，爱思考的PZer你好：


是这样的，一般单笔现金流免疫match的是mac duration，多笔现金流免疫match的是modified duration，没有mathc KRD的。在immunization里不会碰到effective的问题。

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