问题如下图:
选项:
A.
B.
C.
解释:
为什么不是A呢?multiple liabilities 不是应该选convexity 大的么?
发亮_品职助教 · 2019年05月15日
这道题让选的是有Greatest structural risk的一个Portfolio。
结论就是:债券Convexity数据越大,Structural risk越大,即利率非平行移动时,资产不能匹配负债的风险就越大。
Structural risk是指收益率曲线非平行移动时,资产不能匹配负债的风险,首先对于Portfolio A,因为Convexity数据小于负债的Convexity数据,根本就不符合匹配负债的要求,所以对于Portfolio A就不存在有Strucutral risk一说。
“multiple liabilities 不是应该选convexity 大的么?”
Match multiple liabilities,是让资产的Convexity数据大于负债的Convexity数据,同时在此基础上,让资产的Convexity数据尽可能地小,因为资产的Convexity太大的话,Strucutral risk就会太大,所以为了降低Strucutral risk,就要让资产的Convexity在满足匹配要求的基础上,再尽可能地降低。
所以这个表里的Portfolio B和Portfolio C都可以用来Match multiple liabilities,因为两个portfolio的Convexity都大于负债的convexity,但又由于Portfolio B的Convexity数据相对更小点,所以Portfolio B匹配效果相对更好。
总结一下:判断Strucutral risk,就看资产的Convexity数据,Convexity数据越大Structural risk就越大。
wosmomo · 2020年10月11日
太纠结了,做不对了
mandy · 2024年11月01日
老师,请问如果题目只是要我们判断structural risk的话,我们只看convexity就可以了是吗?不用去考虑portfolio是否match liability了?
发亮_品职助教 · 2024年11月01日
structural risk是先让满足duration-matching的基础上,再考虑非平行移动的影响。脱离matching单独考虑convexity/structural risk无意义。所以是先在match liability的组合里面,用convexity判断structural risk的大小
NO.PZ201812020100000302 问题如下 Based on Exhibit 2, the portfolio with the greatest structurrisk is: Portfolio Portfolio B Portfolio C C is correct. Structural risk arises from the sign of the ration-matching portfolio. It is reced minimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annonparallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. 如题
NO.PZ201812020100000302 问题如下 Based on Exhibit 2, the portfolio with the greatest structurrisk is: Portfolio Portfolio B Portfolio C C is correct. Structural risk arises from the sign of the ration-matching portfolio. It is reced minimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annonparallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. A 都不能matching mutiple liability ,虽然convexity最小,有structure risk吗?C是barbell bon,convexity最大,也有structure risk ,两者怎么对比? structure risk就单独的看谁的convexity大小吗?
why structure risk is recewhen spersion is minimize thanks
请问如果convexity越高,portfolio具有涨多跌少的性质,为什么structurrisk还越大呢?