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mia · 2021年05月09日

题目问Best immunize，为什么不用考虑minimum convexity这个条件？

  1. CFA III
  2. Fixed Income

NO.PZ2019103001000026

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.

Compton provides the four US dollar–denominated bond portfolios in Exhibit 1 for consideration. Compton explains that the portfolios consist of non-callable, investment-grade corporate and government bonds of various maturities because zero-coupon bonds are unavailable.

Based on Exhibit 1, which of the portfolios will best immunize SD&R’s single liability?

选项：

A.

Portfolio 1

B.

Portfolio 2

C.

Portfolio 3

解释：

B is correct.

In the case of a single liability, immunization is achieved by matching the bond portfolio’s Macaulay duration with the horizon date. DFC has a single liability of $500 million due in nine years. Portfolio 2 has a Macaulay duration of 8.9, which is closer to 9 than that of either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability.

综合考虑convexity，答案就不对了呀
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已采纳答案

pzqa015 · 2021年05月11日

嗨，爱思考的PZer你好：


同学你好，对于sinle liab，我们首先考虑的是match macD，如果有两个Portfolio mac D相近，此时，为了降低structural risk，我们才会比较convexity，选择convexity小的，让免疫策略的structural risk尽可能小。不能抛开macD=investment horizon这个条件，直接通过convexity来判断。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

Lich · 2021年08月01日

如果答案有portfolio4，是不是4更好呢，老师

pzqa015 · 2021年08月07日

嗨，爱思考的PZer你好：


老师 不是convexity大的更好么，“涨多跌少”，上面回答中降低structural risk是指什么


同学你好，structural risk是收益率曲线发生非平行移动，使得免疫策略失效，△asset≠△liab的情形。为了降低structural risk，我们就要min portfolio convexity。

你说的没错，convexity是一个优良的性质，涨多跌少，但这种优良的性质我们一般用在主动管理上，即根据对收益率曲线的预期变化，调整portfolio convexity，实现收益率曲线下降，涨多，收益率曲线上升，跌少的优良特性。

但对于免疫策略，我们的目的就是为了cover liab，convexity的涨多跌少的性质我们用不上了，我们这时候降低convexity是利用convexity代表现金流离散程度dispersion的特性，降低convexity，是为了降低现金流离散程度，极端情况下只有一笔现金流（负债到期时发生），那么其他（非到期）期限收益率随便怎么变化，都不会影响免疫效果了，这时候structural risk基本被消除了。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

pzqa015 · 2021年08月01日

嗨，爱思考的PZer你好：


是的同学，4的convexity比2小，所以4比2要更好一些。

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加油吧，让我们一起遇见更好的自己！

vance · 2021年08月06日

老师 不是convexity大的更好么，“涨多跌少”，上面回答中降低structural risk是指什么

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NO.PZ2019103001000026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.Compton provis the four US llar–nominatebonportfolios in Exhibit 1 for consiration. Compton explains ththe portfolios consist of non-callable, investment-gra corporate angovernment bon of various maturities because zero-coupon bon are unavailable.Baseon Exhibit 1, whiof the portfolios will best immunize SR’s single liability? A.Portfolio 1 B.Portfolio 2 C.Portfolio 3 B is correct. In the case of a single liability, immunization is achievematching the bonportfolio’s Macaulration with the horizon te. C ha single liability of $500 million e in nine years. Portfolio 2 ha Macaulration of 8.9, whiis closer to 9 ththof either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability.想问一下啥事market value weight artion? macaulartion不就是用市场价值加权的ration吗?

2022-03-27 17:11 1 · 回答

NO.PZ2019103001000026 Portfolio 2 Portfolio 3 B is correct. In the case of a single liability, immunization is achievematching the bonportfolio’s Macaulration with the horizon te. C ha single liability of $500 million e in nine years. Portfolio 2 ha Macaulration of 8.9, whiis closer to 9 ththof either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability. 因为4在Macauley ration和2一样接近，且4convexity更小，是不是match效果更好？

2022-02-07 00:53 1 · 回答

NO.PZ2019103001000026 请问选择的时候是不是一定要选择MACAULRATION大于PORTFOLIO的，本题也就是要大于9年

2021-12-30 12:05 1 · 回答

NO.PZ2019103001000026 Portfolio 2 Portfolio 3 B is correct. In the case of a single liability, immunization is achievematching the bonportfolio’s Macaulration with the horizon te. C ha single liability of $500 million e in nine years. Portfolio 2 ha Macaulration of 8.9, whiis closer to 9 ththof either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability. 该题我们有两个方法1.ration matching，看Mration与li投资期9年是否一致；2.当用Cash flow matching时，是不是就看asset端maturity与liab投资期是否一致就行？

2021-07-26 22:43 1 · 回答

NO.PZ2019103001000026 老师，single liability 要matmacaulration, 那R18基础讲义15页matching条件asset portfolio's ration=liability portfolio's ration里的ration是指的哪种ration？

2021-06-08 15:54 1 · 回答