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.
Statement 2 only.
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