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Lulu1214 · 2020年08月23日

问一道题：NO.PZ2019103001000014

  1. CFA III
  2. Fixed Income

问题如下：

The second project for Soto is to help Hudgens immunize a $20 million portfolio of liabilities. The liabilities range from 3.00 years to 8.50 years with a Macaulay duration of 5.34 years, cash flow yield of 3.25%, portfolio convexity of 33.05, and basis point value (BPV) of $10,505. Soto suggested employing a duration-matching strategy using one of the three AAA rated bond portfolios presented in Exhibit 2.

Based on Exhibit 2, the portfolio with the greatest structural risk is:

选项：

A.

Portfolio A.

B.

Portfolio B.

C.

Portfolio C.

解释：

C is correct.

Structural risk arises from the design of the duration-matching portfolio. It is reduced by minimizing the dispersion of the bond positions, going from a barbell structure to more of a bullet portfolio that concentrates the component bonds’ durations around the investment horizon. With bond maturities of 1.5 and 11.5 years, Portfolio C has a definite barbell structure compared with those of Portfolios A and B, and it is thus subject to a greater degree of risk from yield curve twists and non-parallel shifts. In addition, Portfolio C has the highest level of convexity, which increases a portfolio’s structural risk.

但是A根本连convexity都没达标呀。。。这种风险怎么说。？

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1 个答案

WallE_品职答疑助手 · 2020年08月23日

同学你好，

32和33的convexity其实差不多的，不用纠结于这一点的差异。

Structural risk to immunization arises from some non-parallel shifts and twists to the yield curve. This risk is reduced by minimizing the dispersion of cash flows in the portfolio, which can be accomplished by minimizing the convexity statistic for the portfolio. 

这个才是关键哈。

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NO.PZ2019103001000014问题如下The seconprojefor Soto is to help Huens immunize a $20 million portfolio of liabilities. The liabilities range from 3.00 years to 8.50 years with a Macaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexity of 33.05, anbasis point value (BPV) of $10,505. Soto suggesteemploying a ration-matching strategy using one of the three Aratebonportfolios presentein Exhibit 2.Baseon Exhibit 2, the portfolio with the greatest structurrisk is: A.Portfolio B.Portfolio C.Portfolio C is correct. Structurrisk arises from the sign of the ration-matching portfolio. It is receminimizing 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 annon-parallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk.我看有些人提问说这个题目是单一负债还是多个负债, 我想问多个或单一会对这题答案产生影响吗? 我的理解是要降低structurrisk就应该降低convexity, 这样的结论一值都适用吗?

2022-03-27 17:44 1 · 回答

NO.PZ2019103001000014 如何区别是single liabilities & multiple liabilities?有时题目没有明确指出是multiple liabilties or single liabilities? 我该如何判别？

2021-11-23 08:52 1 · 回答

NO.PZ2019103001000014 请问老师，这题barbell strucutre和convexity到底是两个判断标准，还是同一个呢？如果一个portfolio是barbell，另一个convexity更大，那判断structurrisk应当优先哪个判断标准？

2021-10-03 10:31 2 · 回答

Portfolio Portfolio C is correct. Structurrisk arises from the sign of the ration-matching portfolio. It is receminimizing 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 annon-parallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. 那A的convexity未达标 是叫什么risk呢？

2020-11-09 23:50 1 · 回答