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小菜菜 · 2024年07月26日

有关Statement 1的理解

NO.PZ2023032703000024

问题如下:

Mowery informs Compton 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 of the obligation. Mowery expresses concern about the risks associated with an immunization strategy for this obligation. In response, Compton 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 nonparallel shifts in the yield curve.

Which of Compton’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:

C is correct. Compton 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.

请教一下老师【 measurement errors associated with key parameters relative to interest rate changes may adversely affect the bond portfolios】具体指哪方面的errors?

我理解,在immunization的情况下,哪怕是interest rate变化的测算出现了问题,也被immunize掉了,不受影响

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发亮_品职助教 · 2024年07月26日

具体指哪方面的errors?


就是Measurement error,Measurement error就是指债券的指标计算错误/计算误差,导致的immunization不成功的风险。


因为匹配的时候,看的是资产与负债的各项参数指标,这些参数指标的计算会有误差,或者计算会有假设然后估计。参数都是估计的,不一定准确,那么匹配的效果可能不好。


在做Duration-matching的时候,需要匹配资产与负债的各项指标,所以我们得先计算出来资产/负债的指标,如果资产组合的Macaulay duration, convexity等指标。


这些指标在计算的时候,可能会带来误差。比如,最常见的计算组合Macaulay duration的方法就是将组合内部各个资产的Macaulay duration进行加权平均,这种方法虽然计算简便,但是不准确。

准确的算法应该是把组合当成一个债券,按照定义计算Macaulay duration。


由于这种简便的操作,就会导致组合算出来的Macaulay duration偏离组合实际的Macaulay duration,于是关键指标都有偏差,那么就会带来免疫的偏差。


比如,负债的Due date是6年,应该找一个Macaulay duration等于6的组合来做single liability duration matching。

问题是,用了简便的方法,算了资产组合的Macaulay duration=6,但组合真实的Macaulay duration等于6.2;我们误以为这个组合是最佳的duration-matching组合,但实际由于真实的macaulay duration与负债due date的偏差,实际的免疫效果不好。


还有很多复杂的负债,如含权债券,养老金,这些负债的各项指标在计算的时候,可能需要很多的假设,他们自身的指标计算都不一定准确,指标的计算会受到各个假设的影响,指标不一定等于真实的数据。所以多多少少会有measurement error,指标都有误差,那么duration-matching肯定会有偏差。

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NO.PZ2023032703000024 问题如下 Mowery informs Compton thC ha single $500 million liability e in nine years, anshe wants SR to construa bonportfolio thearns a rate of return sufficient to pof the obligation. Mowery expresses concern about the risks associatewith immunization strategy for this obligation. In response, Compton makes the following statements about liability-iven investing:Statement 1 Although the amount ante of SR’s liability is known with certainty, measurement errors associatewith key parameters relative to interest rate changes maersely affethe bonportfolios.Statement 2 A cash flow matching strategy will mitigate the risk from nonparallel shifts in the yielcurve.Whiof Compton’s statements about liability-iven investing is (are) correct? A.Statement 1 only. B.Statement 2 only. C.Both Statement 1 anStatement 2. C is correct. Compton is correthmeasurement error carise even in immunization strategies for Type 1 cash flows, whihave set amounts anset tes. Also, a parallel shift in yielcurves is a sufficient but not a necessary contion to achieve the sireoutcome. Non-parallel shifts well twists in the yielcurve cchange the cash flow yielon the immunizing portfolio; however, minimizing the spersion of cash flows in the asset portfolio mitigates this risk. a result, both statements are correct. 我觉得2 也不对,因为根据基础班讲义,cash flow matching 是针对multple liabiliy 的,这道题只涉及到single liability 啊;另外利率曲线非平行移动带来的风险是不是只yo有通过最小化convexity 或spersion来实现? 还有其他方法么

2024-01-06 19:36 1 · 回答