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夏天的神游 · 2017年05月29日

2015Mock 上午题 33 immunization



题干:
Smith expresses some concerns about immunization as a strategy:
Even if immunization minimizes risk, it assumes that the yield curve shifts in a
parallel fashion, which is not what I have observed in the market. In addition,
with immunization, the ability to earn some incremental return to offset additional
benefit requirements is not possible.



Smith's concerns regarding immunization as a strategy are best addressed by:
A. decreasing the dispersion of cash flows around the horizon date.
B. matching assets to liabilities by using functional duration and targeting a
cushion spread.
C. increasing the dispersion of cash flows around the horizon date and targeting a
cushion spread.

可以选出正确答案B,但对于A、C选项中的dispersion of cash flows around the horizon date不太理解,是increase好呢还是decrease好?或者,什么情境下应该increase或decrease?

谢谢老师!

1 个答案
老师答案

dispersion of cash flows是multiple liability immunization的问题,就是我们要求asset的duration要比liability的更分散。

这题既不需要increase也不需要decrease,因为我们只需要解决immunization risk和增加return这两个问题,不会用到multiple liability immunization的方法

何旋hexuan · 2017年05月29日

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