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luojy · 2024年05月16日

multiple liability immunization需要满足的条件到底是哪几条，有不同的版本

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000303

问题如下：

Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

A is correct.

The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.

老师，针对multiple liability immunization需要满足的条件，讲解视频中提的是3条如下：

①BPV (asset) = BPV(Liability) 或者说money Duration(asset)=money Duration(liability)

②Convexity(asset)>Convexity(liability)

③Convexity(asset)在第②条的基础上选尽量小的


但是，框架图里写的3条是：

①PV(asset)>PV(liability)

②BPV (asset) = BPV(Liability) 或者说money Duration(asset)=money Duration(liability)

③Convexity(asset)>Convexity(liability)


不一样的地方我标黄了，请老师明确下考试的时候具体以哪个版本为准，还是说稳妥起见，咱们就按4条去满足？

①PV(asset)>PV(liability)

②BPV (asset) = BPV(Liability) 或者说money Duration(asset)=money Duration(liability)

③Convexity(asset)>Convexity(liability)

④Convexity(asset)在第③条的基础上选尽量小的

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pzqa31 · 2024年05月17日

嗨，爱思考的PZer你好：


这里和教研老师讨论了一下，先按照3个去记，就是同学最上面写的这个BPV条件+2个convexity的要求，PV这个条件一般题目不给数据或者就直接默认满足。

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