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13675759099 · 2024年06月03日

为什么不用PV01来判断

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NO.PZ202209060200004703

问题如下:

Based on the data in Exhibit 2, will the client discussed most likely be able to immunize its DB plan given the interest rate scenario described by Silver?

选项:

A.Yes B.No, because of the differences in money duration C.No, because of the differences in convexity and dispersion

解释:

Solution

C is correct. The money duration of the assets and liabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, and 500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equal money durations and PV01 imply that assets and liabilities would move in tandem. Silver expects a bear steepener; that is, long rates will rise faster than short rates. In a bear steepener, long rates rise faster than short rates in a non-parallel fashion. Given that the assets have lower convexity and dispersion than the liabilities, they will underperform; that is, the liabilities would change by a greater amount than the assets.

A is incorrect because Silver expects a bear steepener; that is, long rates will rise faster than short rates. In a bear steepener, long rates rise faster than short rates in a non-parallel fashion. Given that the assets have lower convexity and dispersion than the liabilities, they will underperform.

B is incorrect because the differences in convexity and dispersion are unfavorable; that is, they are lower for the assets than for the liabilities. If the opposite were the case, then the liabilities would be immunized.

我以为PV01本质上和BPV是一样的,Asset的PV01比liability小,所以利率上升的时候,Asset价值下降的比Liability少,所以就免疫住了。为什么不能这么考虑?

1 个答案

发亮_品职助教 · 2024年06月04日

PV01和BPV本质是一样的。

PV01 CFA教材基本没有怎么使用,反而使用的更多是BPV/PVBP,这些都是一样的概念,只是在美国市场上更容易出现PV01。


这是一个Mock题哈,不过这道题出的不规范,他不应该再给出PV01,否则直接利用PV01就可以判断BPV/Money duration是否相等。


另外这道题的资产是做不到免疫。因为虽然BPV/PV01和负债比较接近,但是资产的convexity小于负债的convexity,没有达到多期负债免疫的convexity要求。这道题出的不规范哈,不是duration-matching里面的考法,答案的解释也不是duration-matching思考的角度,本题大概了解一下即可。

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