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努力的百香果 · 2024年06月13日

基于之前问题回答的追问

  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.

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。


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上面摘自最新那个问题回答。我的问题是这种计算属于measurement error还是model risk/error。还是都属于？或者说measurement error和model risk/error是否有被包含的关系呢？

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1 个答案

发亮_品职助教 · 2024年06月14日

嗨，努力学习的PZer你好：


这种计算属于measurement error还是model risk/error


都属于。

Model risk是一级分类，下面会有2个原因，分别是assumption与现实不符（assumptions turn out to be wrong），以及关键参数的计算错误（key parameter approximations are inaccurate）


其中关键参数计算错误也称为measurement error。

相当有一个包含关系，model risk包含mreasurement error


所以macaulay duration计算错误，肯定是measurement error，自然也属于model risk

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