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luojy · 2024年03月07日

duration matching也是为了cash flow match吗？

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000005

问题如下：

Margit asks Cécile to analyze liability-based mandates for a meeting with Villash Foundation. Villash Foundation is a tax-exempt client. Prior to the meeting, Cécile identifies what she considers to be two key features of a liability-based mandate.

  • Feature 1: It can minimize the risk of deficient cash inflows for a company.
  • Feature 2: It matches expected liability payments with future projected cash inflows.
Is Cécile correct with respect to key features of liability-based mandates?

选项：

A.

Yes

B.

No, only Feature 1 is correct

C.

No, only Feature 2 is correct

解释：

A is correct. Liability-based mandates are investments that take an investor’s future obligations into consideration. Liability-based mandates are managed to match expected liability payments with future projected cash inflows. These types of mandates are structured in a way to ensure that a liability or a stream of liabilities can be covered and that any risk of shortfalls or deficient cash inflows for a company is minimized.

这道题一眼就能选出正确答案，但是再想一下就选错了，因为关注点偏向了cash上，就联想到duration是使得PV(asset)=PV(liability),Duration(Asset)=Duration(Liability), 这两个条件都没有提到cash flow match的问题啊，如果是match cash flow那不完全就是cash flow matching吗，连名字都是一模一样，就越想越错了，请老师点拨下，我哪里想的不对，谢谢~

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2 个答案

pzqa31 · 2024年03月08日

嗨，爱思考的PZer你好：


因为关注点偏向了cash上，就联想到duration是使得PV(asset)=PV(liability),Duration(Asset)=Duration(Liability)

---这点没看懂,提到cash怎么会联想到duration?

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa31 · 2024年03月08日

嗨，爱思考的PZer你好：


这道题解析写的不好，feature1与feature2描述的都是cash flow matching的特点，直接当结论记住就行了。

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努力的时光都是限量版，加油！

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