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Cindy · 2020年06月27日

问一道题:NO.PZ2019103001000030 [ CFA III ]

问题如下:

Doug Kepler, the newly hired chief financial officer for the City of Radford, asks the deputy financial manager, Hui Ng, to prepare an analysis of the current investment portfolio and the city’s current and future obligations. The city has multiple liabilities of different amounts and maturities relating to the pension fund, infrastructure repairs, and various other obligations.

Ng observes that the current fixed-income portfolio is structured to match the duration of each liability. Previously, this structure caused the city to access a line of credit for temporary mismatches resulting from changes in the term structure of interest rates

Kepler asks Ng for different strategies to manage the interest rate risk of the city’s fixed-income investment portfolio against one-time shifts in the yield curve. Ng considers two different strategies:

Strategy 1: Immunization of the single liabilities using zero-coupon bonds held to maturity

Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.

A disadvantage of Strategy 1 is that:

选项:

A.

price risk still exists.

B.

interest rate volatility introduces risk to effective matching

C.

there may not be enough bonds available to match all liabilities.

解释:

C is correct.

It may be impossible to acquire zero-coupon bonds to precisely match liabilities because the city’s liabilities have varying maturities and amounts. In many financial markets, zero-coupon bonds are unavailable.

可以解释一下a和b吗
2 个答案
已采纳答案

王暄_品职助教 · 2020年06月28日

嗨,爱思考的PZer你好:


  • A是说我们使用“Immunization of the single liabilities using zero-coupon bonds held to maturity”依然会有price risk的存在,是错误的。因为当我们使用zero-coupon bonds时,price risk是没有的。因为使用了零息债券就可以很好的match每一次的现金流,不存在卖掉债券的风险,因此没有price risk, 所以A不对。
  • B说的是我们使用“Immunization of the single liabilities using zero-coupon bonds held to maturity”依然会引入interest rate risk。当我们使用了零息债券去match每一笔现金流的时候,我们可以完美的match每一笔现金流,所以不会因为利率的波动而带来风险。老师在reading 18中讲到match single liability的两种理解,其中第二种理解就是从zero-coupon bond 去match single liability这个角度出发的。即买一个duration相同的零息债券去match single liability,零息债券本身只有在到期这一天有一笔现金流,single liability也是在到期这一天有一笔现金流,所以零息债券完美match住这笔single liability的现金流,不存在提前卖掉债券或者还要再投资的风险。所以也不会受到利率变化的影响,更不会受到利率破洞的影响 (无论你利率如何波动,我的零息债券该给我多少钱还是会给我多少钱)。所以zero-coupon bond用来match single liability是最好的,缺点就是zero-coupon bond难找且价高。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!


AL · 2021年10月18日

零息债券本身只有在到期这一天有一笔现金流,single liability也是在到期这一天有一笔现金流,所以零息债券完美match住这笔single liability的现金流,不存在提前卖掉债券或者还要再投资的风险。 老師妳好 那其實這樣的用 零息bond 持有到期去match 的 就是 一種 CF matching了? 謝謝

pzqa015 · 2021年10月18日

嗨,爱思考的PZer你好:


可以这样理解。

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加油吧,让我们一起遇见更好的自己!

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