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你涵妹 · 2024年03月23日

如题

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000025

问题如下：

Leah informs Molly that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation. Leah expresses concern about the risks associated with an immunization strategy for this obligation. In response, Molly makes the following statements about liability-driven investing:

  • Statement 1: Although the amount and date of SD&R’s liability is known with certainty, measurement errors associated with key parameters relative to interest rate changes may adversely affect the bond portfolios.
  • Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yield curve.
Which of Molly’s statements about liability-driven investing is (are) correct?

选项：

A.

Statement 1 only.

B.

Statement 2 only.

C.

Both Statement 1 and Statement 2.

解释：

Correct Answer: C

C is correct. Molly is correct that measurement error can arise even in immunization strategies for Type 1 cash flows, which have set amounts and set dates. Also, a parallel shift in yield curves is a sufficient but not a necessary condition to achieve the desired outcome. Non-parallel shifts as well as twists in the yield curve can change the cash flow yield on the immunizing portfolio; however, minimizing the dispersion of cash flows in the asset portfolio mitigates this risk. As a result, both statements are correct.

第一个statement哪里提到是duration matching呢

能不能翻译一下这个statement。


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1 个答案

pzqa31 · 2024年03月24日

嗨，从没放弃的小努力你好：


Statement 1和Statement 2是两条关于Liability-Driven investing（LDI）的说法。


Statement1：Although the amount and date of SD&R’s liability is known with certainty, measurement errors associated with key parameters relative to interest rate changes may adversely affect the bond portfolios.

这条的主要是说Measurement errors，即衡量误差。由于对组合一些关键性参数的衡量存在误差，这些误差会影响到组合的效果，这里主要是指Duration-matching时资产匹配负债的效果。


在讲解时是将负债按照现金流金额是否提前确定、现金流发生的时间是否提前确定将负债分成了4类。其中第一类就是负债现金流的金额、发生的时间都确定（the amount and date of SD&R’s liability is known with certainty）。


按理说这一类负债因为有这种确定性，在用资产进行Duraiton-matching时，会达到很好的匹配效果。但是，因为组合关键性指标的衡量误差（Measurement errors）存在，会影响到Duration-matching时的效果。


比如，在对单期负债进行匹配时，一个要求就是资产的Macaulay duration等于负债的期限，这是Duration-matching时要满足的一个关键条件。资产Macaulay duration是否能准确地衡量，就会影响到匹配的效果。


然后一般在计算资产的Macaulay duration时，是对组合内各成份债券的Macaulay duration进行了简单的加权平均。这种加权平均算出来的数据，并不准确。因为会产生衡量误差（Measurement errors），而该指标又是匹配时需要满足的条件，所以这个误差会影响到匹配的效果。

所以即便我们的负债是第一类负债，有明确的到期日和到期金额，但是算Macaulay duration等关键性数据时，可能会存在衡量误差，这些衡量误差会影响到匹配负债的效果。


Statement 1说的就是这个意思，同时这个Statement也是正确的，确实存在这个Measurement errors带来的风险。

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