NO.PZ201812020100001203
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：
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，我的回答如下，和答案对比了下，主要缺了“duration gap”这个知识点。但我的理解Duration Match和BPV Match本质上是一回事（BPV Match反而更加准确），那在说明了BPV difference增大的情况下，还需要解释Duration Gap吗？
Under the scenarios of parallel shift (either upward or downward), the effectiveness of the immunization strategy performs well, as the difference of BPV between immunization portfolio and outflow portfolio is very small (both equal to 1).
While under the scenarios of non-parallel shift (Steepening twist or flattening twist), the immunization performs worse, given the difference of BPV between immunization portfolio and outflow portfolio become larger.