问题如下图：
选项：
A. 
B. 
C. 
解释：
请问STATEMENT1怎么理解，是考的什么考点？
发亮_品职助教 · 2019年02月18日
Statement 1考察的是在Liability-driven investing下存在的风险；
Measurement error (risk) 就是：用一些不标准的方法去衡量负债或者资产的一些特性，如duration数据、Cash flow yield数据或者Convexity数据。而在Liability-driven investing中，我们着重就是按照这些特性指标构建组合的，用这种不标准的数据构建组合会带来风险。
比方说，求一个债券组合的Macaulay duration，很多情况下会直接对成份债券的Macaulay duration求加权平均来计算Portfolio的Macaulay duration，但这种方法下算出来的Macaulay duration肯定不准，更标准的方法应该是严格按照Macaulay duration的定义进行计算。如果按照加权平均计算的Macaulay duration构建免疫策略，那么就会带来风险。
按上面这种方法，就会带来Measurement risk（error）。
NO.PZ201812020100000405 问题如下 Whiof Molly’s statements about liability-iven investing is (are)correct? Statement 1 only Statement 2 only. Both Statement 1 and Statement 2. Cis correct. Molly is correthmeasurement error carise even inimmunization strategies for Type 1 cash flows, whihave set amounts ansettes. Also, a parallel shift in yielcurves is a sufficient but not anecessary contion to achieve the sireoutcome. Non-parallel shifts welltwists in the yielcurve cchange the cash flow yielon the immunizingportfolio; however, minimizing the spersion of cash flows in the assetportfolio mitigates this risk. a result, both statements are correct. 这一题是matsingle liability。那么在portfolio里直接买9年到期的zero coupon bon可以matsingle liability并且不会受利率风险的影响了。那么statement1就是错的了。但是答案说statement1是对的，请问这点怎么理解？
NO.PZ201812020100000405问题如下 Whiof Molly’s statements about liability-iven investing is (are)correct? Statement 1 only Statement 2 only.Both Statement 1 and Statement 2. Cis correct. Molly is correthmeasurement error carise even inimmunization strategies for Type 1 cash flows, whihave set amounts ansettes. Also, a parallel shift in yielcurves is a sufficient but not anecessary contion to achieve the sireoutcome. Non-parallel shifts welltwists in the yielcurve cchange the cash flow yielon the immunizingportfolio; however, minimizing the spersion of cash flows in the assetportfolio mitigates this risk. a result, both statements are correct. 答案没有cash flow matching 的问题？
NO.PZ201812020100000405问题如下 Whiof Molly’s statements about liability-iven investing is (are)correct? Statement 1 only Statement 2 only.Both Statement 1 and Statement 2. Cis correct. Molly is correthmeasurement error carise even inimmunization strategies for Type 1 cash flows, whihave set amounts ansettes. Also, a parallel shift in yielcurves is a sufficient but not anecessary contion to achieve the sireoutcome. Non-parallel shifts welltwists in the yielcurve cchange the cash flow yielon the immunizingportfolio; however, minimizing the spersion of cash flows in the assetportfolio mitigates this risk. a result, both statements are correct. 老师 ration matching不假设收益率曲线不发生改变吗
NO.PZ201812020100000405问题如下 Whiof Molly’s statements about liability-iven investing is (are)correct? Statement 1 only Statement 2 only.Both Statement 1 and Statement 2. Cis correct. Molly is correthmeasurement error carise even inimmunization strategies for Type 1 cash flows, whihave set amounts ansettes. Also, a parallel shift in yielcurves is a sufficient but not anecessary contion to achieve the sireoutcome. Non-parallel shifts welltwists in the yielcurve cchange the cash flow yielon the immunizingportfolio; however, minimizing the spersion of cash flows in the assetportfolio mitigates this risk. a result, both statements are correct. statement 1 是对的，是因为他说了一种场景吧，比如说用ration matching，parameters就有影响，cashflow没有影响。如果改成will aersely affethe bonportfolios 还对么？
NO.PZ201812020100000405 问题如下 SRCapit(SR), a globasset management company, specializes in fixeincomeinvestments. Molly, chief investment officer, is meeting with a prospectiveclient, Leof Puy FinanciCompany (C). Leahinforms Molly thC’s previous fixeincome manager focuseon the interestrate sensitivities of assets anliabilities when making asset allocationcisions. Molly explains that, in contrast, SR’s investment process firstanalyzes the size antiming of client liabilities, anthen it buil assetportfolio baseon the interest rate sensitivity of those liabilities. Mollynotes thSR generally uses actively manageportfolios signeto earna return in excess of the benchmark portfolio. For clients interesteinpassive exposure to fixeincome instruments, SR offers two aitionalapproaches.Approa1: Seeks to fully replicate a small range of benchmarks consisting of government bon.Approa2: Follows enhanceinxing process for a subset of the bon incluin the Bloomberg Barclays US Aggregate BonInx. Approa2 malso customizeto refleclient preferences.Toillustrate SR’s immunization approafor controlling portfolio interestrate risk, Molly scusses a hypotheticportfolio composeof two non-callable,investment-gra bon. The portfolio ha weighteaverage yiel to-maturityof 9.55%, a weighteaverage coupon rate of 10.25%, ana cash flow yielof9.85%.Leahinforms Molly thC ha single $500 million liability e in nineyears, anshe wants SR to construa bonportfolio thearns a rateof return sufficient to poff the obligation. Leexpresses concern aboutthe risks associatewith immunization strategy for this obligation. Inresponse, Molly makes the following statements about liability-iveninvesting:Statement 1: Although the amount ante of SR’s liability is known with certainty, measurement errors associatewith key parameters relative to interest rate changes maersely affethe bonportfolios.Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yielcurve.Mollyprovis the four US llar–nominatebonportfolios in Exhibit 1 forconsiration. Molly explains ththe portfolios consist of non-callable,investment-gra corporate angovernment bon of various maturities becausezero-coupon bon are unavailable.The scussion turns to benchmarkselection. C’s previous fixeincome manager usea custom benchmark with thefollowing characteristics:Characteristic 1: The benchmark portfolio invests only in investment-gra bon of US corporations with a minimum issuansize of $250 million.Characteristic 2: Valuation occurs on a weekly basis, because many of the bon in the inx are valueweekly.Characteristic 3: Historicprices anportfolio turnover are available for review.Mollyexplains that, in orr to evaluate the asset allocation process, fixeincomeportfolios shoulhave appropriate benchmark. Leasks for benchmark aiceregarng C’s portfolio of short-term anintermeate-term bon, allnominatein US llars. Molly presents three possible benchmarks inExhibit 2. Whiof Molly’s statements about liability-iven investing is (are)correct? Statement 1 only Statement 2 only. Both Statement 1 and Statement 2. Cis correct. Molly is correthmeasurement error carise even inimmunization strategies for Type 1 cash flows, whihave set amounts ansettes. Also, a parallel shift in yielcurves is a sufficient but not anecessary contion to achieve the sireoutcome. Non-parallel shifts welltwists in the yielcurve cchange the cash flow yielon the immunizingportfolio; however, minimizing the spersion of cash flows in the assetportfolio mitigates this risk. a result, both statements are correct. statement 1 中的 measurement errors指的是什么呢