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.
Is Cécile correct with respect to key
features of liability-based mandates?
选项:
A.Yes
No, only Feature 1 is correct
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.
老师,请问为什么cash flow matching的前提是bond要持有至到期,才会没有price risk。根据何老师上课所讲,衡量price risk的应该是麦考利久期,而不是持有至到期,而且price risk反映的是利率变动对价格的影响,跟到期日有什么联系?