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jerryhuqian · 2025年02月03日

请问下这题的考点在哪里？

  1. CFA III
  2. Fixed Income

NO.PZ2023032703000043

问题如下：

Adams states, “Generally when we evaluate similar situations, we will use a passive, as opposed to an active, management strategy for the fixed-income portfolio, which means the risk of measurement error will be greater than asset liquidity risk.”

Is Adams most likely correct in her assessment of measurement error? (2019 mock AM)

选项：

A.

Yes

B.

No, because passive management would preclude measurement error

C.

No, because asset liquidity risk is greater than the risk of measurement error

解释：

Measurement error for Asset BPV can arise even in the classic passive immunization strategy for Type I cash flows, which have set amounts and dates. Asset liquidity can become a risk factor in strategies that add active investing to otherwise passive fixed-income portfolios and would not be applicable here.

问句的意思是什么？为什么说流动性风险不大？债券投资的流动性不是很差么？

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1 个答案

发亮_品职助教 · 2025年02月04日

这个考查的是duration matching时对应的风险。参考Pathway基础班讲义的52页之后，我们学过的风险就有measurement error，model risk, spread risk等等。




这道题的题干信息比较绕，对应的题干信息如下：

we will use a passive, as opposed to an active, management strategy for the fixed-income portfolio, which means the risk of measurement error will be greater than asset liquidity risk.


上面说，他们将使用passive的方法来管理fixed-income portfolio，而不是使用active方法

那么这将意味着，面临的measurement error比asset liquidity risk要更大。

其实就是说，passive的方法里，measurement error占主要的风险，liquidity risk这个风险相对没那么重要。


这个完全正确！


因为passive的方法，无论是match index，还是match liability。我们都是盯着债券/指数的指标来判断match的成功与否。比如，我们会计算资产与负债的duration, convexity等数据，然后再执行策略。


所以这里面duration等指标的精确度就非常重要，有误差就会带来不成功的风险。

比如，在构建duration-matching时，实务常见的偷懒策略是将成分债券的duration进行加权得到组合的duration数据，然后依靠这个数据做匹配。

这么做虽然简单，但是有误差。

没有误差的做法应该是按照duration的定义，从定义出发求组合数据。


于是基于这样有误差的数据做匹配，带来的免疫不成功的风险，就称为measurement error。当然，measurement error隶属于model risk，以上风险也可以称为model risk。


虽然在passive策略里，也会面临asset liquidity risk，但是没有measurement error重要。因为passive的策略调仓换股相对没有那么频繁，面临的流动性风险较少。


反而是active策略下，需要频繁的进行调仓，于是asset liquidity risk占主导。

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