问题如下图:
选项:
A.
B.
C.
解释:
请问正文中CIO回答客户说是根据客户负债来匹配资产,这个应该是选B吧?为什么选C?A和B是C的分类,只有在不能区别是A或者B时才能选C吧?
发亮_品职助教 · 2019年02月18日
对的,Asset-liability management是大类,Asset-driven liabilities和Liability-driven investing是底下的细分类别。
如果能明确地知道是已知Liability特性,然后去配置资产的情况就是Liability-driven investing;
或者能明确地知道是已知Asset特性,然后去配置负债的情况就是Asset-driven liabilities;
如果不能知道是哪个驱动哪个,而只知道是兼顾了资产负债,那就是Asset-liability management。本题就属于这种情况。
注意题干问的是DFC的Previous fixed-income manager的策略,涉及到Previous fixed-income manager的是:
DFC's previous fixed-income manager focused on the interest rate sensitivities of assets and liabilities when making asset allocation decisions.
这里只说到了在做资产配置决策时,会兼顾考虑到资产负债两端的利率敏感度;而并没有说是由分析Liability开始,由Liability的特性决定资产的特性;
所以本题选择的是C。
反而是后面这句话,说的就是Liability-driven investing,不过与本题无关了:
in contrast, SD&R's investment process first analyzes the size and timing of client liabilities, then builds an asset portfolio based on the interest rate sensitivity of those liabilities.
NO.PZ201812020100000401问题如下 The investment process followeC’s previous fixeincome manageris best scribeas: asset-iven liabilities.liability-iven investing.asset–liability management. Cis correct. Asset–liability management strategies consir both assets aniabilities in the portfolio cision-making process. Lenotes thC’sprevious fixeincome manager attempteto control for interest rate risk byfocusing on both the asset anthe liability si of the company’s balansheet.The previous manager thus followeasset–liability management strategy. 看课件上写的是c分为a和b两种
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