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IIIIIIIIIIIIIIIIII · 2021年05月15日

Pavonia Case Scenario 官网题库 - CF matching reinvestment risk 残留

(这题也收纳在了经典题中)

Later, Adams and junior portfolio manager Frank Neeson review the fixed-income portfolios of two new defined benefit plan clients, Lawson Doors & Cabinets, Inc., and Wharton Farms. Lawson’s plan has 30 participants, who are mostly experienced craftsmen and machinists, whereas Wharton has over 100 participants in its plan. The average participant age is 15 years younger for the Wharton plan compared with the Lawson plan. In both plans, participants receive a monthly benefit upon retirement based on average final pay and have no option for a lump sum distribution. 


Q. Which of the following three strategies is least likely appropriate for the plans in Exhibit 2?

  1. Duration matching
  2. Cash flow matching
  3. Contingent immunization



IIIIIIIIIIIIIIIIII · 2021年05月15日

B is correct. Cash flow matching is least appropriate for both plans. In both the Lawson and Wharton plans, participants are entitled to receive a monthly benefit.

IIIIIIIIIIIIIIIIII · 2021年05月15日

中)Cash flow matching entails building a dedicated portfolio of zero-coupon or fixed-income bonds to ensure there are sufficient cash inflows to pay the scheduled cash outflows.

IIIIIIIIIIIIIIIIII · 2021年05月15日

下)However, such a strategy is impractical and can lead to large cash flow holdings between payment dates, resulting in reinvestment risk and forgone returns on cash holdings. 为什么还会有reinvestment risk,return on CF这又是为何? (啥时候取消字数限制? 你看到贴一道题有多麻烦了吗,而且每次等三分钟!!)

2 个答案
已采纳答案

pzqa015 · 2021年05月15日

嗨,爱思考的PZer你好:


这道题选B.

同学你好,cash flow matching是用投资债券的本金和利息来cover 负债的CF流出,为了保险起见,一般会设置投资债券的现金流入早于负债现金流出日,比如,10号支付一笔资金,那么要在7号或者更早就收到投资债券的现金流,这部分现金流如果在账上不动,那么就损失了机会成本(7号到10号的利息),也就是return on cash holdings,如果再做短期投资,那么就面临着reinvestment risk。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

IIIIIIIIIIIIIIIIII · 2021年05月31日

谢谢

pzqa015 · 2021年05月15日

嗨,爱思考的PZer你好:


这道题选B.

同学你好,cash flow matching是用投资债券的本金和利息来cover 负债的CF流出,为了保险起见,一般会设置投资债券的现金流入早于负债现金流出日,比如,10号支付一笔资金,那么要在7号或者更早就保证能收到投资债券的现金流,这部分现金流如果在账上不动,那么就损失了机会成本,也就是return on cash holdings,如果再做短期投资,那么就面临着reinvestment risk。

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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!

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