NO.PZ202303270300002503
问题如下：
(3) An upward shift in the yield curve on Strategy 2 will most likely result in the:
选项：
A.price effect canceling the coupon reinvestment effect.
price effect being greater than the coupon reinvestment effect.
coupon reinvestment effect being greater than the price effect.
解释：
A is correct. An upward shift in the yield curve reduces the bond’s value but increases the reinvestment rate, with these two effects offsetting one another. The price effect and the coupon reinvestment effect cancel each other in the case of an upward shift in the yield curve for an immunized liability.
如题，资产MD=负债MD时候，价格风险和再投资风险相互抵消。
那何时价格风险会大于再投资风险？资产MD>负债MD吗？此时YTM升高，资产价格下降将超过再投资的弥补，导致免疫失败；
但YTM下降时，资产的升值将超过负债的升值，而且似乎这个时候再投资收益都是一样的？
主要是再投资风险这一点，请老师帮忙梳理下，谢谢！