开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

13675759099 · 2024年06月03日

为什么不用PV01来判断

* 问题详情,请 查看题干

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。

  • 1

    回答
  • 0

    关注
  • 166

    浏览
相关问题

NO.PZ202209060200004703问题如下Baseon the ta in Exhibit 2, will the client scussemost likely able to immunize its plgiven the interest rate scenario scribeSilver?A.YesB.No, because of the fferences in money rationC.No, because of the fferences in convexity anspersionSolutionC is correct. The money ration of the assets anliabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, an500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equmoney rations anPV01 imply thassets anliabilities woulmove in tanm. Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform; this, the liabilities woulchange a greater amount ththe assets. A is incorrebecause Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform.B is incorrebecause the fferences in convexity anspersion are unfavorable; this, they are lower for the assets thfor the liabilities. If the opposite were the case, then the liabilities woulimmunize麻烦问下老师,PV01(asset)不等于PV01(lia),BPV=PV01的概念吗?按理来说,Money ration*0.01%不就是BPV吗?好奇怪,谢谢老师

2024-07-11 07:24 1 · 回答

NO.PZ202209060200004703 问题如下 Baseon the ta in Exhibit 2, will the client scussemost likely able to immunize its plgiven the interest rate scenario scribeSilver? A.Yes B.No, because of the fferences in money ration C.No, because of the fferences in convexity anspersion SolutionC is correct. The money ration of the assets anliabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, an500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equmoney rations anPV01 imply thassets anliabilities woulmove in tanm. Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform; this, the liabilities woulchange a greater amount ththe assets. A is incorrebecause Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform.B is incorrebecause the fferences in convexity anspersion are unfavorable; this, they are lower for the assets thfor the liabilities. If the opposite were the case, then the liabilities woulimmunize 老师好,这道题我理解了,但是针对convexity的性质我突然有一点问题。我记得上课的时候何老师讲过,针对multiple liability的immunization,我们要在asset的convexity大于liability的convexity的组合当中找convexity最小的那个,但是convexity不是越大越好么?因为convexity有涨多跌少的优点——那么这里为什么是要在大的convexity里面找投资组合最小的portfolio呢?对应的知识点是基础班的这一页

2024-05-27 16:19 1 · 回答

NO.PZ202209060200004703 问题如下 Baseon the ta in Exhibit 2, will the client scussemost likely able to immunize its plgiven the interest rate scenario scribeSilver? A.Yes B.No, because of the fferences in money ration C.No, because of the fferences in convexity anspersion SolutionC is correct. The money ration of the assets anliabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, an500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equmoney rations anPV01 imply thassets anliabilities woulmove in tanm. Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform; this, the liabilities woulchange a greater amount ththe assets. A is incorrebecause Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform.B is incorrebecause the fferences in convexity anspersion are unfavorable; this, they are lower for the assets thfor the liabilities. If the opposite were the case, then the liabilities woulimmunize 如题

2023-11-28 01:04 1 · 回答

NO.PZ202209060200004703 问题如下 Baseon the ta in Exhibit 2, will the client scussemost likely able to immunize its plgiven the interest rate scenario scribeSilver? A.Yes B.No, because of the fferences in money ration C.No, because of the fferences in convexity anspersion SolutionC is correct. The money ration of the assets anliabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, an500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equmoney rations anPV01 imply thassets anliabilities woulmove in tanm. Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform; this, the liabilities woulchange a greater amount ththe assets. A is incorrebecause Silver expects a besteepener; this, long rates will rise faster thshort rates. In a besteepener, long rates rise faster thshort rates in a non-parallel fashion. Given ththe assets have lower convexity anspersion ththe liabilities, they will unrperform.B is incorrebecause the fferences in convexity anspersion are unfavorable; this, they are lower for the assets thfor the liabilities. If the opposite were the case, then the liabilities woulimmunize 这道题跟是不是besteepening是不是没什么关系?其实就是只要知道这里是非平行移动的意思,免疫失效,对吧?

2023-07-14 17:42 1 · 回答