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dzhao034 · 2019年05月15日

问一道题:NO.PZ201812020100000302 第2小题

* 问题详情,请 查看题干

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?

1 个答案
已采纳答案

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

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