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Jwang · 2024年07月05日

如题

NO.PZ2018120301000038

问题如下:

After selecting a portfolio to immunize Schuylkill’s multiple future outflows, Chaopraya prepares a report on how this immunization strategy would respond to various interest rate scenarios. The scenario analysis is presented in Exhibit 3.


Discuss the effectiveness of Chaopraya’s immunization strategy in terms of duration gaps.

选项:

解释:

Correct Answer:

Chaopraya’s strategy immunizes well for parallel shifts, with little deviation between the outflow portfolio and the immunizing portfolio in market value and BPV. Because the money durations are closely matched, the differences between the outflow portfolio and the immunizing portfolio in market value are small and the duration gaps (as shown by the difference in Δ Portfolio BPVs) between the outflow portfolio and the immunizing portfolio are small for both the upward and downward parallel shifts.

Chaopraya’s strategy does not immunize well for the non-parallel steepening and flattening twists (i.e., structural risks) shown in Exhibit 3. In those cases, the outflow portfolio and the immunizing portfolio market values deviate substantially and the duration gaps between the outflow portfolio and the immunizing portfolio are large.

老师好,在flattening的情况下,虽然delta BPV比parallel shift情况中大,但至少MV可以覆盖liability,但在steepening的情况中,MV都无法覆盖liability,免疫是失效的。所以可以把flatten和steepen分开讨论,而不是说non parallel都不是很effective吗?

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发亮_品职助教 · 2024年07月07日

不行哈。这道题是原版书课后题,答案也是课后题标准答案。我们自己回答的话可以比这个精简,但是答题的主要思想要和这个答案一致。


这道题就是让检验一下这个duration-matching的效果咋样。表格分别给出来了平移移动时,资产负债的表现;非平行移动时,资产负债的表现。


如果说duration-matching效果好的话,意思就是当利率改变时,资产与负债的价值改变量(△market value)是一致的。

因为资产、负债期初的PV相等,利率改变带来的价值改变量△market value又是相等的,那此时期末的价值一定也相等,意味着资产一定能偿还掉负债。


所以,duration-matching效果好不好,我们就可以看利率改变时,资产与负债的价值改变量△market value是否一样。越是接近、相等,那么duration-matching的效果就越好。


所以,这道题的数据里面,我们其实只需看△market value在利率改变时是否接近即可,不用再额外看△BPV了。因为一个好的duration-matching,也有可能在利率改变之后,资产与负债的BPV有较大的差异,产生较大的△BPV。本质原因就是在duration-matching时,我们没有要求利率改变时,资产、负债的duration改变也要同步。


基于以上分析,在利率upward parallel和downward parallel时,资产与负债的△Market value变动几乎一致,difference很小,所以说在平行移动时,duration-matching的效果很好



反而在非平行移动,steepening twist和flattening twist时,资产与负债的△market value变动数据差距太大,所以duration-matching的效果不好。


注意,duration-matching的效果好是指,当利率改变时,资产与负债的价值改变同步,即△market value要近似相等。

哪怕出现了flattening里面的资产价值上升,负债的价值下降,似乎看起来资产的偿还能力更强,但这也不是duration-matching的效果好。因为duration-matching的效果好就只看两者是否同步变动。



Jwang · 2024年07月07日

明白了,谢谢老师

发亮_品职助教 · 2024年07月07日

不用客气!

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