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Pepe · 2019年03月29日

问一道题:NO.PZ201812020100000105 第5小题

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问题如下图:

    

选项:

A.

B.

C.

解释:


确认下,Feature 2 is incorrect, only because of expression of "liquidating bond"? if it is principal of bond, feature 2 is corect?

1 个答案
已采纳答案

发亮_品职助教 · 2019年03月30日

对的,Cash flow matching不需要提前卖出债券。

用Cash flow matching时,用来偿付Liability的现金流:来自Coupon现金流和本金的偿还。

看到Cash flow matching,即不存在再投资的风险(Coupon reinvestment Risk),由于是持有至到期也不存在卖出债券时的价格风险(price risk),所以我们才说Cash flow matching是不需要利率假设的,因为不存在利率对现金流的影响。

Cash flow matching只需要我们能做到资产的Coupon + Principal现金流发生的金额和日期完美地和Liability的现金流金额和日期匹配即可。

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