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jaydengu · 2020年01月31日

FI-single liabilty match 问一道题:NO.PZ2019103001000025

问题如下:

Mowery informs Compton that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation. Mowery expresses concern about the risks associated with an immunization strategy for this obligation. In response, Compton makes the following statements about liability-driven investing:

Statement 1:Although the amount and date of SD&R’s liability is known with certainty, measurement errors associated with key parameters relative to interest rate changes may adversely affect the bond portfolios.

Statement 2:A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yield curve.

Which of Compton’s statements about liability-driven investing is (are) correct?

选项:

A.

Statement 1 only.

B.

Statement 2 only

C.

Both Statement 1 and Statement 2

解释:

C is correct.

Compton is correct that measurement error can arise even in immunization strategies for Type 1 cash flows, which have set amounts and set dates. Also, a parallel shift in yield curves is a sufficient but not a necessary condition to achieve the desired outcome. Non-parallel shifts as well as twists in the yield curve can change the cash flow yield on the immunizing portfolio; however, minimizing the dispersion of cash flows in the asset portfolio mitigates this risk. As a result, both statements are correct.

Although the amount and date of SD&R’s liability is known with certainty, measurement errors associated with key parameters relative to interest rate changes may adversely affect the bond portfolios.


请教下老师,请问statement 1 针对题干来说应该是错的吧,题目中提到是single liabilty,那么我通过Mac duration相同的零息债券match就完全避免model risk了,不会因为interest rate的变化而影响其match的效果。老师,我的理解是否正确,多谢!

1 个答案

发亮_品职助教 · 2020年02月03日

嗨,从没放弃的小努力你好:


Statement 1是专门针对 Measurement errors的。

关于债券、或者债券Portfolio,我们有一些关键指标来衡量他们的特性,比如折现率(YTM/Cash flow yield),Macaulay duration、Modified duration等等。这些指标可以描述债券的特性,也是咱们在匹配负债时,着重参考的依据。

一旦这些指标不准确,就会给匹配带来风险,也就是在匹配时,由指标不准确带来的不匹配的风险,就称为Measurement errors,他属于Model risk里的细分项。


即便是Single liability,依然存在这个风险。例如,我们要匹配题目说的Maturity=9年的负债,那我们需要在市场上找到Macaulay duration=9的债券资产。

假设我们用的是债券Portfolio,那我们必须要计算出来Portfolio的Macaulay duration是多少。这时候就非常容易产生Measurement errors;

按Macaulay duration的定义,我们需要把Portfolio的现金流计算出来,然后一笔笔算Portfolio现金流的平均回流时间(Macaulay duration);但实际操作中,这样很麻烦,很多人并不会这么算,而是简单的把Portfolio里成份债券的Macaulay duration做加权平均,用这个平均数当成组合的Mac.Duration。

显然,这个Mac.Duration衡量债券组合的特性并不精确,所以哪怕是匹配单期负债,用这样参数的组合匹配负债依然有Measurement errors。所以答案说即便对于Type 1负债的匹配,依然存在风险(measurement errors)是正确的。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


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NO.PZ2019103001000025问题如下Mowery informs Compton thC ha single $500 million liability e in nine years, anshe wants SR to construa bonportfolio thearns a rate of return sufficient to poff the obligation. Mowery expresses concern about the risks associatewith immunization strategy for this obligation. In response, Compton makes the following statements about liability-iven investing:Statement 1Although the amount ante of SR’s liability is known with certainty, measurement errors associatewith key parameters relative to interest rate changes maersely affethe bonportfolios.Statement 2A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yielcurve.Whiof Compton’s statements about liability-iven investing is (are) correct? A.Statement 1 only. B.Statement 2 only C.Both Statement 1 anStatement 2 C is correct. Compton is correthmeasurement error carise even in immunization strategies for Type 1 cash flows, whihave set amounts anset tes. Also, a parallel shift in yielcurves is a sufficient but not a necessary contion to achieve the sireoutcome. Non-parallel shifts well twists in the yielcurve cchange the cash flow yielon the immunizing portfolio; however, minimizing the spersion of cash flows in the asset portfolio mitigates this risk. a result, both statements are correct.measurement errors这里是指mol risk吗?

2022-03-27 17:28 1 · 回答

NO.PZ2019103001000025 Statement 1Although the amount ante of SR’s liability is known with certainty, measurement errors associatewith key parameters relative to interest rate changes maersely affethe bonportfolios. Statement 1中的“measurement errors associatewith key parameters” 是不是在说macaulration和 spersion anconvexity计算错误的情况?比如不是站在portfolio整体的角度,而是通过加权平均求出来的。。。

2021-08-10 07:10 1 · 回答

NO.PZ2019103001000025 Statement 2 only Both Statement 1 anStatement 2 C is correct. Compton is correthmeasurement error carise even in immunization strategies for Type 1 cash flows, whihave set amounts anset tes. Also, a parallel shift in yielcurves is a sufficient but not a necessary contion to achieve the sireoutcome. Non-parallel shifts well twists in the yielcurve cchange the cash flow yielon the immunizing portfolio; however, minimizing the spersion of cash flows in the asset portfolio mitigates this risk. a result, both statements are correct. 这是一个single liability,cash flow matching不是只适用于multiple liability吗?

2021-02-25 21:55 1 · 回答

请教老师,statement 2 是错在哪里,如何修改就是正确的论述了啊?

2019-12-18 16:11 1 · 回答