问题如下图:为什么是short a bond
选项:
A.
B.
C.
D.
解释:
NO.PZ2016071602000004 问题如下 The taSoft Corporation hemployee pension scheme with fixeliabilities ana long time horizon reflecting its young workforce. The funs assets are $9 billion anthe present value of its liabilities is $8.8 billion. Whiof the following statements are incorrect?I. The present value of long-term fixepayments behaves very mulike a long position in a fixerate bonII. Surplus risk is a measure of relative risk.III. The taSoft Corporation will able to immunize its liabilities investing $8 billion in long-term fixerate bon. A.I anII B.II anIII C.I anIII I,II anIII C is correct. Statement I. is incorrebecause this liability is similto a short (not long) position in a bon Statement II. is correbecause surplus risk is a relative risk measure, assets minus liabilities. Statement III. is incorrebecause the company nee to invest $8.8 billion, not $8 billion. 老师这道题当中养老金的资产是9m,负债是8.8m,资产是可以覆盖负债的,那A好像也对唉。C解析要改成8.8m就对了,这句话的意思是养老金的负债是8.8m,所以需要去投资一个面值8.8m的债券?不应该是short嘛?发行一个债券融资来负债这8.8m
NO.PZ2016071602000004 a和c看不太懂
NO.PZ2016071602000004 a和c看不太懂
C是怎么对冲掉liability的风险?