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ladycoco想放假 · 2021年06月06日

关于No.PZ201812020100000303

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000303

问题如下：

Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

A is correct.

The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.

这道题为什么不能选portfolio C呢？不是说要在asset convexity 大于liability convexity的基础上选一个min convexity的吗？C虽然符合了asset convexity 大于liability convexity，但是大太多了，也不能算meet requirement吧？

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pzqa015 · 2021年06月07日

嗨，从没放弃的小努力你好：


这道题为什么不能选portfolio C呢？不是说要在asset convexity 大于liability convexity的基础上选一个min convexity的吗？C虽然符合了asset convexity 大于liability convexity，但是大太多了，也不能算meet requirement吧？

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“不是说要在asset convexity大于Liability convexity的基础上选一个Min convexity的吗”，是的同学，你说的没错，那么根据asset convexity大于liability convexity，这个条件，A是不满足的，所以是fail to meet requirements，至于C，虽然convexity大很多，但是只能说它与B相比，不是最合适的，因为convexity大，所以structural risk大，但并不能说它fail to meet requirement。

我们基于convexity选择portfolio的标准，首选是要让资产convexity大于负债convexity，其次，是在所有满足这个条件的资产中，选convexity最小的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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